basel iii disclosure (consolidated)5 basel iii disclosure fiscal 2017 overview of stress testing...

Mitsubishi UFJ Financial Group

FISCAL 2017

Basel III Disclosure (Consolidated)

Basel III Disclosure Fiscal 2017 2

Table of contents

Basel III Disclosure (Consolidated)

Group Business Management 3

Basel III Data (Consolidated) 7

SCOPE OF CONSOLIDATION 7

COMPOSITION OF EQUITY CAPITAL 9

CREDIT RISK 22

APPENDED FORMS 25

COMPOSITION OF LEVERAGE RATIO DISCLOSURE 64

INDICATORS FOR ASSESSING GLOBAL SYSTEMICALLY IMPORTANT BANKS (G-SIBs) 65

LIQUIDITY RISK 66

CHANGES IN THE CONSOLIDATED LIQUIDITY COVERAGE RATIO FROM THE PREVIOUS QUARTER 69

EVALUATION OF THE CONSOLIDATED LIQUIDITY COVERAGE RATIO LEVEL 70

COMPOSITION OF THE TOTAL HQLA ALLOWED TO BE INCLUDED IN THE CALCULATION 70

OTHER MATTERS CONCERNING THE CONSOLIDATED LIQUIDITY COVERAGE RATIO 70

NET OPERATING PROFITS/RISK-WEIGHTED ASSETS BY BUSINESS GROUP 71

[Reference Information] 72


Group Business Management

Business Management Framework

MUFG has introduced a “business group system” to develop and promote group-wide business initiatives along with a unified strategy based on seamless coordination between each group company. For fiscal 2018, we have revised our segmentation, to respond accurately to the increasingly diversified financial needs of our customers, and promote group-wide management across the Bank, the Trust Bank, and the Securities Business. We shall respond promptly and carefully to customers’ needs, utilizing the framework created by establishing business groups to serve as contact points for customers: Retail & Commercial Banking, Japanese Corporate & Investment Banking, Global Corporate & Investment Banking, and Global Commercial Banking, in addition to Asset Management & Investor Services and Global Markets.

Risk-Return Management

In order to improve the group-based risk profile, to earn an appropriate amount of profits, and to allocate managerial resources properly, MUFG compiles an “Economic Capital Allocation Plan” in which it allocates economic capital, matching the sum of various types of risk exposures calculated by an internal risk measurement model, to each business group, each subsidiary, and each risk category.

In addition, in order to comply with the Basel III regulatory capital regulations, MUFG introduced a “Risk-Weighted-Asset (RWA) plan,” and controls risk takings by segment.

MUFG has also introduced business management indicators (ROEC*, RORA*, etc.) to assess and manage profitability against risk takings, aiming to heighten capital efficiency on a group basis.

Glossary of terms:

• ROEC (Return on Economic Capital)

A ratio calculated by dividing the net income of each business group by its amount of allocated capital. MUFG uses ROEC to pursue efficient use of allocated capital distributed to respective business groups.

• RORA (Return on Risk Asset)

A ratio calculated by dividing the net income of each business group by its amount of risk-weighted assets. MUFG uses RORA to pursue profitability and efficiency that are commensurate with risk-weighted assets.


Overview of Internal Capital Adequacy Assessment Process

The holding company regularly assesses its internal capital adequacy from two perspectives: regulatory capital, based on capital adequacy ratio regulations (Basel III), and its own economic capital, based on internal risk assessment.

In assessing internal capital adequacy based on regulatory capital, the holding company confirms that it is maintaining sufficient capital both at the current time and in terms of what will be required in the future, calculating the Common Equity Tier 1 capital ratio, the Tier 1 capital ratio, and the total capital ratio using capital and risk-adjusted assets as stipulated in the capital adequacy ratio regulations. At the same time, the holding company confirms that it is maintaining appropriate capital relative to risk using the benchmark of a “Common Equity Tier 1 capital ratio on a finalized Basel III reforms basis of approximately 11%,” which has been designated from the perspective of risk management and is included as a target in the Group’s medium-term business plan.

An internal capital adequacy assessment based on economic capital is carried out within the framework of the capital allocation system, which allocates capital to credit risk, strategic equity portfolio risk, market risk, and operational risk. Credit concentration risk and interest rate risk in the banking book, as stipulated by the Second Pillar of Basel, are included in these risks. The method of calculating each risk under the capital allocation system uses the basic assumptions of a confidence level of 99.9% and a holding period of one year to enhance consistency with Basel III. The capital allocation plan is formulated after assessing internal capital adequacy by comparing the total risk amount, taking into account the effect of risk diversification, with total capital (Tier 1 capital + Tier 2 capital). Thereafter, internal capital adequacy is monitored on an ongoing basis by regularly checking the use of allocated capital versus the plan and the amount of allocated capital versus total capital.

Both the regulatory capital plan and the economic capital plan are stress-tested and are prepared based on a detailed analysis of the impact on capital and risk as well as an assessment of internal capital adequacy.

The same framework for the assessment of internal capital adequacy used at the holding company is applied at the Group’s two main banks: MUFG Bank, Ltd. and Mitsubishi UFJ Trust and Banking Corporation.

Required Regulatory Capital Adequacy Levels %

March 2013 March 2014 March 2015 March 2016 March 2017 March 2018 March 2019 and beyond

Common Equity Tier 1 ratio 3.50 4.00 4.50 5.50 6.50 7.51 8.52Tier 1 ratio 4.50 5.50 6.00 7.00 8.00 9.01 10.02Total capital ratio 8.00 8.00 8.00 9.00 10.00 11.01 12.02Note: Based on a G-SIB buffer of 1.5%, the required level assuming a countercyclical buffer of 0.02%.

Common Equity Tier 1 Ratio Requirements

*1 G-SIB buffer This buffer is an additional capital adequacy requirement placed on financial institutions designated as global systemically important financial institutions. The designation of covered financial institutions and the rates are updated annually. The 1.5% shown in the accompanying chart is the rate announced in 2017 that is expected to be required of MUFG.

*2 Capital conservation buffer This buffer seeks to maintain capital that can be drawn upon during times of stress, and banks are required to hold this buffer to avoid falling below minimum regulatory capital levels. The required buffer is 2.5% of risk-weighted assets on a Common Equity Tier 1 capital basis. In the event that the levels shown in the chart cannot be maintained, certain restrictions would be imposed on measures associated with the distribution of capital, such as the payment of dividends or the repurchase of shares.

Note: The countercyclical buffer is omitted.


Overview of Stress Testing Process (1) Development of Stress Testing Scenarios

Develop several scenarios taking into account such factors as our risk profile and underlying macroeconomic environment. • Worst-case scenarios expected once in 5–10 years and worst-case scenarios expected once in 20–25 years are

developed in principle and some additional scenarios are developed where necessary.

Prepare macroeconomic variables for the testing horizon under each scenario. • Macroeconomic variables include GDP, TOPIX, JGB yield, dollar-yen exchange rate, euro-yen exchange rate,

unemployment rate, CPI, and others.

(2) Review and Approval Process of the Scenarios Scenarios developed under process (1) are reviewed by our internal committee and ultimately approved by our Group Chief Risk Officer.

(3) Estimation of Financial Impact Estimate stress impacts on major assets and income based on the scenarios approved in process (2). • Major items estimated include credit cost, losses on write-down on equity securities, net gains/losses on equity securities,

net interest income, risk-weighted assets, and others.

(4) Assessment of Internal Capital Adequacy Assess internal capital adequacy of both regulatory and economic capital, calculating the following ratios/amounts based on the stress impacts estimated in process (3).

• Regulatory Capital: Common Equity Tier 1 ratio, Tier 1 ratio, and total capital ratio

• Economic Capital: Capital margin (difference between total capital and total risk amount)

Stress testing results are reviewed by the Corporate Risk Management Committee.


Top Risk MUFG and its major subsidiaries control risk by taking a preventative approach of identifying the top risks and establishing the necessary countermeasures in advance. If risks do materialize, the situation is managed so as to enable a flexible response. Moreover, senior management discusses top risk to share risk awareness and develop effective countermeasures.

Major top risks

Risks* Risk Scenarios (examples)

Decline in Profitability

(Including Decline in Profitability

of Net Interest Income)

• Decline in profitability of net interest income due to negative interest rate policy.

• Decline in overall profitability due to constraints on balance sheet size caused by regulatory

factors.

Risk of Foreign Currency Liquidity • Depletion of foreign currency liquidity or significant increase in its cost due to deterioration of

market conditions.

Increase in Credit Costs • As the real economy slows on a global basis, against a backdrop of central banks in America

and Europe forming strategies for exiting monetary easing, circumstances in North Korea, the

Middle East, etc., and other factors, credit costs may increase in industries and regions where

there is the potential risk of credit concentration.

Risk of Information Technology • Customer information leakage and reputational damage due to cyber-attack.

• Payment of compensation costs and reputational damage due to system failure.

Risk Associated with Money

Laundering or Economic

Sanctions

• Regulatory issues such as the infringement of anti-money laundering regulations or applicable

regulations related to economic sanctions could lead to legal actions such as business

suspension or civil fines, and reputational damage.

* The risks outlined in the above table are some of the risks discussed at the Risk Committee meeting in March 2018 and reported to the Board of Directors. Some of the risks are general ones and may not be unique to MUFG.

Concept of top risks • Risks are defined as the losses that MUFG would incur as a result of each risk scenario materializing. The materiality of a risk is determined

based on the impact and probability of risk occurrence (external and internal factors).

• Risks that MUFG believes require priority attention over the next one year period are defined as top risks (including risk events having the

potential to have a relatively high probability of occurrence. Moreover, including risks that are not only limited to the quantifiable ones, but

those that could materially affect MUFG’s business in the future because of possible adverse effects on MUFG’s strategies or reputation).

• MUFG creates a risk map to comprehensively grasp specified top risks, and makes use of it for forward-looking risk management.

Note: The table shown above only describes some of the risks that MUFG believes are material. Please note that other risks not identified in the above table could materially affect MUFG’s operating results. Please refer to other disclosure materials such as Annual Securities Report, Quarterly Securities Report, Form 20-F, and Form 6-K for more details on MUFG’s and its subsidiaries’ risk information.


Basel III Data (Consolidated)

In accordance with the provisions of Article 52-25 of the Banking Law of Japan, Mitsubishi UFJ Financial Group (MUFG) adopts the “International regulatory framework” to calculate its capital adequacy ratio based on formulas contained in the standards for the consolidated capital adequacy ratio of bank holding companies (Notification of the Financial Services Agency No. 20, 2006; referred to hereinafter as the “FSA Holding Company Capital Adequacy Notification”) to assess capital adequacy in light of the assets we own on a consolidated basis. In accordance with the provisions of Article 52-25 of the Banking Law of Japan, MUFG adopts the “International regulatory framework” to calculate its consolidated liquidity coverage ratio based on the formulas contained in the standards for determining soundness in liquidity management, which are established as standards for a bank holding company to determine the soundness of management of bank holding companies and their subsidiaries and other entities, and should also be referred to in order to determine the soundness of bank management (Notification of the Financial Services Agency No. 62, 2014; referred to hereinafter as the “FSA Holding Company Liquidity Coverage Ratio Notification”).

With regard to the calculation of the consolidated capital adequacy ratio, MUFG received an independent audit by Deloitte Touche Tohmatsu (DTT) LLC in accordance with “Treatment of Inspection of the Capital Ratio Calculation Framework Based on Agreed-Upon Procedures” (JICPA Industry Committee Practical Guideline No. 30). With regard to part of the internal controls structure governing calculation of the consolidated capital adequacy ratio, MUFG received a report from DTT LLC, which conducted certain procedures as deemed necessary by MUFG. The procedures conducted by the independent auditor were not part of an audit of the financial statements or an audit of internal controls, and we did not receive any audit opinion with regard to our internal controls structure governing the calculation of the consolidated capital adequacy ratio or the related consolidated capital adequacy ratio.

SCOPE OF CONSOLIDATION Notes on the scope of consolidation

Differences between those companies belonging to the corporate group (here-inafter, the “holding company group”) to which the calculation of consolidated capital adequacy ratio as stipulated in Article 3 of the FSA Holding Company Capital Adequacy Notification is applicable and those companies that are included in the scope of consolidation for accounting purposes

Paragraph 1 of Article 3 of the FSA Holding Company Capital Adequacy Notification states that “the provisions of Paragraph 2 of Article 5 of the Regulation on Consolidated Financial Statements shall not apply” to “financial subsidiaries” of a bank holding company. Moreover, Paragraph 3 of the said Article 3 states that “insurance-related subsidiaries” of a bank holding company “shall not be included in the scope of consolidation.” In addition, with regard to affiliated companies engaged in financial operations, the FSA Holding Company Capital Adequacy Notification states that, provided certain conditions are met, such companies “can be included in the scope of consolidation and in the calculation of the consolidated capital adequacy ratio using pro rata consolidation” (under which only those portions of the affiliated company’s assets, liabilities, income and expenditures that are attributable to the bank holding company or any consolidated subsidiaries with investments in the said affiliated company are included in the scope of consolidation). MUFG Group had no companies to which the above exception applied as of March 31, 2017, or March 31, 2018, and there were no differences between those companies belonging to the “holding company group” and those companies that are included in the “scope of consolidation for accounting purposes.”

Number of consolidated subsidiaries, and names and principal businesses of major consolidated subsidiaries of the holding company group

213 companies as of March 31, 2017; 209 companies as of March 31, 2018 MUFG Bank, Ltd. (banking business), Mitsubishi UFJ Trust and Banking Corporation (trust/banking business), Mitsubishi UFJ Securities Holdings Co., Ltd. (securities business), etc.

Number of affiliated companies engaged in financial operations which are subject to Article 9 of the FSA Holding Company Capital Adequacy Notification, and names, amounts of total assets and net assets shown on the balance sheet, and principal businesses of affiliated companies engaged in these financial operations

Not applicable as of March 31, 2017 and 2018


Names, amounts of total assets and net assets shown on the balance sheet, and principal businesses of companies belonging to the holding company group that are not included in the scope of consolidation for accounting purposes, and of companies not belonging to the holding company group but included in the scope of consolidation for accounting purposes


Outline of restrictions on transfer of funds or equity capital within the holding company group

As of March 31, 2017 and 2018, transfer of funds or capital within the MUFG Group is conducted with all due consideration given to the appropriateness of each action. We give priority in ensuring that each group company maintains sufficient capital level for legal and regulatory compliance purposes. Care is also taken to ensure that actions do not compromise sound and proper operations, while eliminating negative effects on payment capacity, liquidity or profitability.

Companies that are deficient in regulatory capital and total regulatory capital deficiencies

Names of any other financial institu-tions, etc., classified as subsidiaries or other members of the bank holding company that are deficient in regulatory capital, and corresponding total regula-tory capital deficiencies



COMPOSITION OF EQUITY CAPITAL Composition of Changes in Equity Capital Millions of yen

March 31, 2017 March 31, 2018

Common Equity Tier 1 capital, beginning of period 13,039,875 13,413,885

Capital and capital surplus (13,550) (215,283)

Retained earnings 690,967 786,103

Treasury stock (214,337) (8,898)

National specific regulatory adjustments (earnings to be distributed) 2,956 (10,775)

Subscription rights to common shares (7,869) (136)

Accumulated other comprehensive income 207,807 774,726

Common share capital issued by subsidiaries and held by third parties

(amount allowed in group Common Equity Tier 1) 19,519 (6,629)

Amount included in Common Equity Tier 1 capital under transitional arrangements (48,637) (25,168)

Intangible assets (227,795) (212,873)

Deferred tax assets that rely on future profitability excluding those arising from temporary

differences (net of related tax liability) 1,573 (1,039)

Deferred gains or losses on derivatives under hedge accounting 151,565 68,739

Securitization gain on sale (3,061) (3,199)

Gains and losses due to changes in own credit risk on fair valued liabilities (702) 1,459

Net defined benefit assets (174,391) (279,506)

Investments in own shares (excluding those reported in the Net assets section) (10,031) 3,541

Others – –

Common Equity Tier 1 capital, end of period 13,413,885 14,284,945

Additional Tier 1 capital, beginning of period 1,799,421 1,818,606

Directly issued qualifying Additional Tier 1 instruments plus related capital surplus

classified as equity under applicable accounting standards – –

Directly issued qualifying Additional Tier 1 instruments plus related capital surplus

classified as liabilities under applicable accounting standards 398,100 321,900

Additional Tier 1 instruments issued by subsidiaries and held by third parties

(amount allowed in group Additional Tier 1) 18,239 (16,622)

Eligible Tier 1 capital instruments subject to transitional arrangements (292,329) (150,000)

Amount included in Additional Tier 1 capital under transitional arrangements (204,892) (111,667)

Investments in own Additional Tier 1 instruments (1,513) (3,913)

Significant investments in the capital of banking, financial and insurance entities that are

outside the scope of regulatory consolidation (net of eligible short positions) (3,952) 15,025

Amount excluded from Additional Tier 1 capital under transitional arrangements 105,533 93,476

Others – –

Additional Tier 1 capital, end of period 1,818,606 1,966,804

Tier 2 capital, beginning of period 3,102,522 2,843,667

Directly issued qualifying Tier 2 instruments plus related capital surplus

classified as liabilities under applicable accounting standards 438,017 479,879

Tier 2 instruments issued by subsidiaries and held by third parties

(amount allowed in group Tier 2) 625 1,333

Eligible Tier 2 capital instruments subject to transitional arrangements (365,997) (447,419)

General allowance for credit losses and eligible provisions included in Tier 2 2,009 (41,694)

Amount included in Tier 2 capital under transitional arrangements (368,269) (304,287)

Investments in own Tier 2 instruments 3,005 4,253

Significant investments in the capital banking, financial and insurance entities that are

outside the scope of regulatory consolidation (net of eligible short positions) 778 (29,149)

Amount excluded from Tier 2 capital under transitional arrangements 30,976 37,148

Others – –

Tier 2 capital, end of period 2,843,667 2,543,731

Total capital, end of period 18,076,158 18,795,480


Composition of Capital Disclosure Millions of yen

March 31, 2017 March 31, 2018

Basel III

Template No. Items

Amounts excluded under

transitional arrangements



Common Equity Tier 1 capital: instruments and

reserves (1)

1a+2–1c–26 Directly issued qualifying common share capital plus related

capital surplus and retained earnings 12,197,725 ／ 12,748,871 ／

1a Capital and capital surplus 3,553,600 ／ 3,338,317 ／

2 Retained earnings 9,278,546 ／ 10,064,649 ／

1c Treasury stock (513,260) ／ (522,158) ／

26 National specific regulatory adjustments (earnings to be

distributed) (121,160) ／ (131,935) ／

Other than above – ／ – ／

1b Subscription rights to common shares 391 ／ 254 ／

3 Accumulated other comprehensive income and other

disclosed reserves 2,369,105 592,276 3,143,832 –

5 Common share capital issued by subsidiaries and held by

third parties (amount allowed in group Common Equity

Tier 1) 184,791 ／ 178,162 ／

Total of items included in Common Equity Tier 1 capital:

instruments and reserves subject to transitional

arrangements 25,168 ／ – ／

Common share capital issued by subsidiaries and held

by third parties (amount allowed in group Common

Equity Tier 1) 25,168 ／ – ／

6 Common Equity Tier 1 capital: instruments and

reserves (A) 14,777,181 ／ 16,071,120 ／

Common Equity Tier 1 capital: regulatory adjustments (2)

8+9 Total intangible assets (net of related tax liability, excluding

those relating to mortgage servicing rights) 900,077 225,019 1,112,951 –

8 Goodwill (including those equivalent) 343,008 85,752 407,088 –

9 Other intangibles other than goodwill and mortgage

servicing rights 557,068 139,267 705,862 –

10 Deferred tax assets that rely on future profitability excluding

those arising from temporary differences (net of related

tax liability) 648 162 1,688 –

11 Deferred gains or losses on derivatives under hedge

accounting 103,896 25,974 35,156 –

12 Shortfall of eligible provisions to expected losses – – – –

13 Securitization gain on sale 11,440 2,860 14,639 –

14 Gains and losses due to changes in own credit risk on fair

valued liabilities 1,363 340 (95) –

15 Net defined benefit assets 330,171 82,542 609,678 –

16 Investments in own shares (excluding those reported in the

Net assets section) 15,698 3,924 12,156 –

17 Reciprocal cross-holdings in common equity – – – –


Composition of Capital Disclosure (continued) Millions of yen

March 31, 2017 March 31, 2018

Basel III

Template No. Items





18 Investments in the capital of banking, financial and

insurance entities that are outside the scope of regulatory

consolidation, net of eligible short positions, where the

bank does not own more than 10% of the issued share

capital (amount above the 10% threshold) – – – –

19+20+21 Amount exceeding the 10% threshold on specified items – – – –

19 Significant investments in the common stock of financials – – – –

20 Mortgage servicing rights – – – –

21 Deferred tax assets arising from temporary differences

(net of related tax liability) – – – –

22 Amount exceeding the 15% threshold on specified items – – – –

23 Significant investments in the common stock of financials – – – –

24 Mortgage servicing rights – – – –

25 Deferred tax assets arising from temporary differences

(net of related tax liability) – – – –

27 Regulatory adjustments applied to Common Equity Tier 1

due to insufficient Additional Tier 1 and Tier 2 to cover

deductions – ／ – ／

28 Common Equity Tier 1 capital: regulatory adjustments (B) 1,363,296 ／ 1,786,175 ／

Common Equity Tier 1 capital (CET1)

29 Common Equity Tier 1 capital (CET1) ((A) – (B)) (C) 13,413,885 ／ 14,284,945 ／

Additional Tier 1 capital: instruments (3)

31a 30 Directly issued qualifying Additional Tier 1 instruments plus

related capital surplus classified as equity under

applicable accounting standards – ／ – ／

31b 30 Subscription rights to Additional Tier 1 instruments – ／ – ／

32 30 Directly issued qualifying Additional Tier 1 instruments plus

related capital surplus classified as liabilities under

applicable accounting standards 948,100 ／ 1,270,000 ／

30 Qualifying Additional Tier 1 instruments plus related capital

surplus issued by special purpose vehicles and other

equivalent entities – ／ – ／

34–35 Additional Tier 1 instruments issued by subsidiaries and

held by third parties (amount allowed in group Additional

Tier 1) 167,364 ／ 150,741 ／



March 31, 2017 March 31, 2018

Basel III

Template No. Items





33+35 Eligible Tier 1 capital instruments subject to transitional

arrangements included in Additional Tier 1 capital:

instruments 702,189 ／ 552,189 ／

33 Instruments issued by bank holding companies and their

special purpose vehicles 702,000 ／ 552,000 ／

35 Instruments issued by subsidiaries (excluding bank

holding companies’ special purpose vehicles) 189 ／ 189 ／

Total of items included in Additional Tier 1 capital:

instruments subject to transitional arrangements 111,667 ／ – ／

Foreign currency translation adjustments 111,667 ／ – ／

36 Additional Tier 1 capital: instruments (D) 1,929,321 ／ 1,972,931 ／

Additional Tier 1 capital: regulatory adjustments

37 Investments in own Additional Tier 1 instruments 1,592 398 5,506 –

38 Reciprocal cross-holdings in Additional Tier 1 instruments – – – –




bank does not own more than 10% of the issued common

share capital of the entity (amount above the 10%

threshold) – – – –

40 Significant investments in the capital of banking, financial

and insurance entities that are outside the scope of

regulatory consolidation (net of eligible short positions) 15,646 3,911 620 –

Total of items included in Additional Tier 1 capital:

regulatory adjustments subject to transitional

arrangements 93,476 ／ – ／

Goodwill (net of related tax liability) 52,457 ／ – ／

Other intangibles other than goodwill and mortgage

servicing rights (net of related tax liability) 38,158 ／ – ／

Securitization gain on sale 2,860 ／ – ／

42 Regulatory adjustments applied to Additional Tier 1 due to

insufficient Tier 2 to cover deductions – ／ – ／

43 Additional Tier 1 capital: regulatory adjustments (E) 110,715 ／ 6,127 ／

Additional Tier 1 capital

44 Additional Tier 1 capital ((D) – (E)) (F) 1,818,606 ／ 1,966,804 ／



March 31, 2017 March 31, 2018

Basel III

Template No. Items





Tier 1 capital (T1 = CET1 + AT1)

45 Tier 1 capital (T1 = CET1 + AT1) ((C) + (F)) (G) 15,232,491 ／ 16,251,749 ／

Tier 2 capital: instruments and provisions (4)

46 Directly issued qualifying Tier 2 instruments plus related

capital surplus classified as equity under applicable

accounting standards – ／ – ／

46 Subscription rights to Tier 2 instruments – ／ – ／

46 Directly issued qualifying Tier 2 instruments plus related

capital surplus classified as liabilities under applicable

accounting standards 908,621 ／ 1,388,500 ／

46 Qualifying Tier 2 instruments plus related capital surplus

issued by special purpose vehicles and other equivalent

entities – ／ – ／

48–49 Tier 2 instruments issued by subsidiaries and held by third

parties (amount allowed in group Tier 2) 73,772 ／ 75,106 ／

47+49 Eligible Tier 2 capital instruments subject to transitional

arrangements included in Tier 2: instruments and

provisions 1,223,987 ／ 776,567 ／

47 Instruments issued by bank holding companies and their

special purpose vehicles – ／ – ／

49 Instruments issued by subsidiaries (excluding bank

holding companies’ special purpose vehicles) 1,223,987 ／ 776,567 ／

50 Total of general allowance for credit losses and eligible

provisions included in Tier 2 379,414 ／ 337,719 ／

50a Provision for general allowance for credit losses 202,307 ／ 219,487 ／

50b Eligible provisions 177,106 ／ 118,232 ／

Total of items included in Tier 2 capital: instruments and

provisions subject to transitional arrangements 304,287 ／ – ／

Amounts equivalent to 45% of unrealized gains on other

securities 277,825 ／ – ／

Deferred gains or losses on derivatives under hedge

accounting (376) ／ – ／

Amounts equivalent to 45% of land revaluation excess 26,838 ／ – ／

51 Tier 2 capital: instruments and provisions (H) 2,890,082 ／ 2,577,893 ／

Tier 2 capital: regulatory adjustments

52 Investments in own Tier 2 instruments 8,374 2,093 4,120 –

53 Reciprocal cross-holdings in Tier 2 instruments – – – –



March 31, 2017 March 31, 2018

Basel III

Template No. Items








bank does not own more than 10% of the issued common

share capital of the entity (amount above the 10%

threshold) – – – –

55 Significant investments in the capital banking, financial and


consolidation (net of eligible short positions) 892 223 30,041 –

Total of items included in Tier 2 capital: regulatory

adjustments subject to transitional arrangements 37,148 ／ – ／

Goodwill (net of related tax liability, including those

equivalent) 33,294 ／ – ／

Significant investments in the capital banking, financial


regulatory consolidation (net of eligible short positions) 3,854 ／ – ／

57 Tier 2 capital: regulatory adjustments (I) 46,415 ／ 34,162 ／

Tier 2 capital (T2)

58 Tier 2 capital (T2) ((H) – (I)) (J) 2,843,667 ／ 2,543,731 ／

Total capital (TC = T1 + T2)

59 Total capital (TC = T1 + T2) ((G) + (J)) (K) 18,076,158 ／ 18,795,480 ／

Risk weighted assets (5)

Total of items included in risk weighted assets subject to

transitional arrangements 186,698 ／ – ／

Other intangibles other than goodwill and mortgage

servicing rights (net of related tax liability) 101,108 ／ – ／

Deferred tax assets that rely on future profitability

excluding those arising from temporary differences

(net of related tax liability) 162 ／ – ／

Net defined benefit assets 82,542 ／ – ／

Investments in own shares (excluding those reported in

the Net assets section) 2,643 ／ – ／

Significant investments in the capital banking, financial


regulatory consolidation (net of eligible short positions) 241 ／ – ／

60 Risk weighted assets (L) 113,986,399 ／ 113,463,618 ／



March 31, 2017 March 31, 2018

Basel III

Template No. Items





Capital ratio (consolidated)

61 Common Equity Tier 1 capital ratio (consolidated) ((C) / (L)) 11.76% ／ 12.58% ／

62 Tier 1 capital ratio (consolidated) ((G) / (L)) 13.36% ／ 14.32% ／

63 Total capital ratio (consolidated) ((K) / (L)) 15.85% ／ 16.56% ／

Regulatory adjustments (6)

72 Non-significant investments in the capital of other financials

that are below the thresholds for deduction (before risk

weighting) 967,761 ／ 994,563 ／

73 Significant investments in the common stock of other

financials that are below the thresholds for deduction

(before risk weighting) 995,662 ／ 1,125,471 ／

74 Mortgage servicing rights that are below the thresholds for

deduction (before risk weighting) 2,649 ／ 7,267 ／

75 Deferred tax assets arising from temporary differences that

are below the thresholds for deduction (before risk

weighting) 102,863 ／ 81,980 ／

Provisions included in Tier 2 capital: instruments and

provisions (7)

76 Provisions (general allowance for credit losses) 202,307 ／ 219,487 ／

77 Cap on inclusion of provisions (general allowance for credit

losses) 304,564 ／ 294,265 ／

78 Provisions eligible for inclusion in Tier 2 in respect of

exposures subject to internal ratings-based approach

(prior to application of cap) (if the amount is negative,

report as “nil”) 177,106 ／ 118,232 ／

79 Cap for inclusion of provisions in Tier 2 under internal

ratings-based approach 392,561 ／ 367,713 ／

Capital instruments subject to transitional

arrangements (8)

82 Current cap on AT1 instruments subject to phase out

arrangements 828,765 ／ 663,012 ／

83 Amount excluded from AT1 due to cap (excess over cap

after redemptions and maturities) (if the amount is

negative, report as “nil”) – ／ – ／

84 Current cap on T2 instruments subject to transitional

arrangements 1,324,987 ／ 1,059,989 ／

85 Amount excluded from T2 due to cap (excess over cap after

redemptions and maturities) (if the amount is negative,

report as “nil”) – ／ – ／

Note: Capital instruments, approved by the commissioner of Japanese Financial Services Agency, subject to the provision to Paragraph 12 of Article 8 of the notification of Japanese Financial Services Agency No. 20, 2006, hereinafter referred to as the “FSA Holding Company Capital Adequacy Notification,” are excluded from the calculation of figures stipulated in Paragraph 8, 9-1, and 10-1 of Article 8 of FSA Holding Company Capital Adequacy Notification, for 10 years from March 31, 2013 to March 30, 2023. The approved amount will decrease by 20% each year from March 31, 2019. The amount approved at the end of March, 2017 is ¥1,477,185 million and the amount approved at the end of March, 2018 is ¥1,498,785 million.


Explanation on reconciliation between balance sheet items and regulatory capital elements (March 31, 2017 and 2018) Notes: 1. The amounts in the “Composition of capital disclosure” are based on those before considering transitional arrangements and include “Amounts excluded

under transitional arrangements” disclosed in “Composition of Capital Disclosure” as well as the amounts included in regulatory capital. In addition, items included in regulatory capital under transitional arrangements are excluded from this table.

2. As of March 31, 2017 and 2018, the regulatory scope of consolidation was the same as the accounting scope of consolidation.

1. Shareholders’ equity

(1) Consolidated balance sheet Millions of yen

Consolidated balance sheet items March 31, 2017 March 31, 2018 Remarks

Capital stock 2,141,513 2,141,513

Capital surplus 1,412,087 1,196,803

Retained earnings 9,278,546 10,064,649

Treasury stock (513,260) (522,158)

Total shareholders’ equity 12,318,885 12,880,807

(2) Composition of capital Millions of yen

Composition of capital disclosure March 31, 2017 March 31, 2018 Remarks

Basel III

Template No.

Directly issued qualifying common

share capital plus related capital

surplus and retained earnings

12,318,885 12,880,807

Shareholders’ equity attributable to

common shares (before adjusting

national specific regulatory

adjustments (earnings to be

distributed))

Capital and capital surplus 3,553,600 3,338,317 1a

Retained earnings 9,278,546 10,064,649 2

Treasury stock (513,260) (522,158) 1c

Other than above – –

Directly issued qualifying Additional

Tier 1 instruments plus related

capital surplus classified as equity

under applicable accounting

standards and its breakdown – –

Shareholders’ equity attributable to

preferred shares with a loss

absorbency clause upon entering into

effective bankruptcy

31a


2. Intangible fixed assets



Intangible fixed assets 1,257,876 1,246,676

Securities 59,438,897 59,266,170

Goodwill attributable to equity-

method investees 166,472 152,119 Goodwill attributable to equity-method investees

Income taxes related to above

291,501 275,129

Income taxes related to intangibles other than goodwill

and mortgage servicing rights



Basel III

Template No.

Goodwill (net of related tax liability,

including those equivalent) 428,760 407,088 8

Other intangibles other than goodwill

and mortgage servicing rights (net

of related tax liability) 696,336 705,862

Other intangibles other than goodwill

and mortgage servicing rights

(software, etc.) 9

Mortgage servicing rights 2,649 7,267

Amount exceeding the 10%

threshold on specified items – – 20



Mortgage servicing rights that are

below the thresholds for

deduction (before risk weighting) 2,649 7,267 74

3. Net defined benefit assets



Net defined benefit assets 601,377 874,106

Income taxes related to above 188,663 264,428



Basel III

Template No.

Net defined benefit assets 412,714 609,678 15


4. Deferred tax assets



Deferred tax assets 126,231 89,172

Deferred tax liabilities 745,073 867,919

Deferred tax liabilities for land revaluation 124,483 117,104

Tax effects on other intangible fixed

assets 291,501 275,129

Tax effects on net defined benefit

assets 188,663 264,428



Basel III

Template No.

Deferred tax assets that rely on future

profitability excluding those arising

from temporary differences (net of

related tax liability) 810 1,688

This item does not agree with the

amount reported on the balance

sheet due to offsetting of assets and

liabilities 10

Deferred tax assets that rely on

future profitability arising from

temporary differences (net of related

tax liability) 102,863 81,980

This item does not agree with the

amount reported on the balance

sheet due to offsetting of assets and

liabilities





Deferred tax assets arising from

temporary differences that are

below the thresholds for deduction

(before risk weighting) 102,863 81,980 75


5. Deferred gains or losses on derivatives under hedge accounting



Net deferred gains (losses) on

hedging instruments 125,684 59,360



Basel III

Template No.

Deferred gains or losses on

derivatives under hedge accounting

129,870 35,156

Excluding those items whose valuation

differences arising from hedged items

are recognized as “Total accumulated

other comprehensive income” 11

6. Items associated with investments in the capital of financial institutions



Trading assets

21,046,367 15,247,156

Including trading account securities and derivatives for

trading assets

Securities 59,438,897 59,266,170

Loans and bills discounted 109,005,231 108,090,994 Including subordinated loans

Other assets 11,554,699 12,176,023 Including derivatives and investments in the capital

Trading liabilities

17,700,617 10,898,924

Including trading account securities sold and

derivatives for trading assets

Other liabilities 9,382,992 9,270,887 Including derivatives




Basel III

Template No.

Investments in own capital

instruments 32,081 21,783

Common equity Tier 1 capital 19,622 12,156 16

Additional Tier 1 capital 1,990 5,506 37

Tier 2 capital 10,468 4,120 52

Reciprocal cross-holdings in the

capital of banking, financial and

insurance entities – –

Common equity Tier 1 capital – – 17

Additional Tier 1 capital – – 38

Tier 2 capital – – 53

Investments in the capital of banking,

financial and insurance entities that

are outside the scope of regulatory

consolidation, net of eligible short

positions, where the bank does not

own more than 10% of the issued

share capital (amount above the

10% threshold) 967,761 994,563

Common equity Tier 1 capital – – 18

Additional Tier 1 capital – – 39

Tier 2 capital – – 54

Non-significant investments in the

capital of other financials that

are below the thresholds for

deduction (before risk weighting) 967,761 994,563 72

Significant investments in the capital

of banking, financial and insurance

entities that are outside the scope

of regulatory consolidation, net of

eligible short positions 1,016,336 1,156,134





Additional Tier 1 capital 19,558 620 40

Tier 2 capital 1,115 30,041 55

Significant investments in the

capital of financials that are

below the thresholds for

deduction (before risk weighting) 995,662 1,125,471 73


7. Non-controlling interests



Non-controlling interests 1,377,719 1,270,123


Composition of capital disclosure March 31, 2017 March 31, 2018 Remarks Basel III

Template No.Common share capital issued by

subsidiaries and held by third parties (amount allowed in group CET1) 184,791 178,162

After reflecting amounts eligible for inclusion (after Non-controlling interest adjustments)

5Qualifying Additional Tier 1

instruments plus related capital surplus issued by special purpose vehicles and other equivalent entities – –


30–31ab–32Additional Tier 1 instruments issued

by subsidiaries and held by third parties (amount allowed in group AT1) 167,364 150,741


34–35Qualifying Tier 2 instruments plus

related capital surplus issued by special purpose vehicles and other equivalent entities – –


46Tier 2 instruments issued by

subsidiaries and held by third parties (amount allowed in group Tier 2) 73,772 75,106


48–49

8. Other capital instruments



Borrowed money 16,971,085 16,399,502

Bonds payable 9,893,687 10,706,252

Total 26,864,773 27,105,755


Composition of capital disclosure March 31, 2017 March 31, 2018 Remarks Basel III

Template No.Directly issued qualifying Additional

Tier 1 instruments plus related capital surplus classified as liabilities under applicable accounting standards 948,100 1,270,000 32

Directly issued qualifying Tier 2 instruments plus related capital surplus classified as liabilities under applicable accounting standards 908,621 1,388,500 46

Description of agreements concerning methods of procuring capital Details are shown on the MUFG website (Please see https://www.mufg.jp/english/ir/basel3/)


CREDIT RISK Credit risk exposures (By geographic area) Millions of yen

FY2017

Credit risk exposures (Note 1)

Loans, etc.

(Note 2)

Debt

securities

Others

(Note 3) Total

Domestic 88,278,618 35,896,872 66,155,323 190,330,813

Foreign Americas 35,042,836 5,929,869 5,845,068 46,817,774

Europe 15,891,046 942,328 3,695,017 20,528,392

Asia/Oceania 19,764,738 2,740,174 4,133,765 26,638,678

Total 158,977,239 45,509,244 79,829,175 284,315,660

Notes: 1. Figures are without taking into account the effects of credit risk mitigation techniques. Furthermore, figures do not include any securitization exposures, exposures relating to funds, exposures relating to counterparty credit risk for derivatives, etc., or exposures relating to shares and other equity instruments.

2. Loans, etc., include loans, commitments and other off-balance sheet exposures. 3. The “Others” category includes due from banks, call loans, and other non-loan on-balance sheet exposures.

(By type of industry) Millions of yen

FY2017


Loans, etc.

(Note 2)

Debt

securities

Others

(Note 3) Total

Manufacturing 26,750,928 826,806 395,788 27,973,522

Wholesale and retail 15,629,749 202,539 1,215,596 17,047,885

Construction 2,072,229 22,655 1,925 2,096,810

Finance and insurance 18,449,630 1,187,657 13,961,498 33,598,785

Real estate 13,843,159 169,840 57,659 14,070,659

Services 10,712,045 247,680 111,987 11,071,712

Transport 6,818,201 192,531 25,931 7,036,664

Individuals 28,350,457 – 91,353 28,441,810

Governments and local authorities 5,661,000 40,902,724 59,096,776 105,660,501

Others 30,689,838 1,756,808 4,870,659 37,317,306

Total 158,977,239 45,509,244 79,829,175 284,315,660



(By residual contractual maturity) Millions of yen

FY2017


Loans, etc.

(Note 2)

Debt

securities

Others

(Note 3) Total

Due in 1 year or less 41,859,395 13,235,453 21,845,130 76,939,979

Due over 1 year to 3 years 23,983,373 8,719,061 55,032 32,757,467

Due over 3 years to 5 years 25,008,617 3,254,728 156,036 28,419,382

Due over 5 years to 7 years 7,618,728 4,726,456 1 12,345,186

Due over 7 years 27,256,294 11,152,688 36,856 38,445,839

Exposures of indeterminate maturity, etc. 33,250,829 4,420,856 57,736,117 95,407,804

Total 158,977,239 45,509,244 79,829,175 284,315,660




Exposures to borrowers relating to claims provided for in Paragraphs 2, 3, and 4 of Article 4 of the Ordinance for Enforcement of the Act on Emergency Measures for the Revitalization of the Financial Functions

(By geographic area) Millions of yen

FY2017

Exposures as of the

period-end Allowances Write-offs

Domestic 1,201,857 362,381 110,958

Foreign Americas 231,483 58,262 1,298

Europe 80,162 19,479 17,020

Asia/Oceania 187,919 72,519 37,151

Total 1,701,422 512,642 166,428


FY2017

Exposures as of the

period-end Allowances Write-offs

Manufacturing 560,677 212,889 8,004

Wholesale and retail 191,518 66,511 11,714

Construction 74,779 30,481 14,130

Finance and insurance 10,912 2,792 3,227

Real estate 83,677 7,022 268

Services 106,217 29,523 1,888

Transport 48,479 11,804 3,707

Individuals 451,320 111,291 105,348

Governments and local authorities 0 – –

Others 173,838 40,325 18,139

Total 1,701,422 512,642 166,428

Notes: 1. Exposures as of the period-end do not include any securitization exposures, exposures relating to funds, exposures relating to counterparty credit risk for derivatives, etc., or exposures relating to shares and other equity instruments.

2. Assets subject to allowances include loans and other receivables, customers’ liabilities for acceptances and guarantees, and commitments. Assets subject to write-offs include loans and other receivables and bonds.

Exposures by past due period Millions of yen

March 31, 2018

Less than 1 month

1 month or more and

less than 2 months

2 months or more and

less than 3 months 3 months or more Total

830,491 177,117 109,856 39,650 1,157,116


2. Exposures by past due period do not include exposures to borrowers classed as claims against “Bankrupt or De facto Bankrupt” borrowers as provided for in Paragraph 2 of Article 4 of the Ordinance for Enforcement of the Act on Emergency Measures for the Revitalization of the Financial Functions, or “Doubtful” claims as provided for in Paragraph 3 of the same.

3. Exposures for which the past due period is 3 months or more but not classed as a long period (generally 6 months or more), and is due to inheritance or other special reasons, are not categorized as “Doubtful” claims or lower.


Exposures to borrowers relating to claims with loan concessions granted for the purpose of restructuring or supporting business management Millions of yen

March 31, 2018

Exposures as of the period-end

Exposures for which related allowances

have been increased in line with the granting

of loan concessions

Other exposures

802,288 768,894 33,393


2. Exposures to borrowers relating to claims with loan concessions granted for the purpose of restructuring or supporting business management do not include exposures to borrowers classed as claims against “Bankrupt or De facto Bankrupt” borrowers as provided for in Paragraph 2 of Article 4 of the Ordinance for Enforcement of the Act on Emergency Measures for the Revitalization of the Financial Functions, “Doubtful” claims as provided for in Paragraph 3 of the same, or loans corresponding to a claims in arrears for three months or more as provided for in Paragraph 4 of the same.

3. Claims with loan concessions granted represent loans renegotiated with reduction of interest, deferral of interest payment, deferral of principal repayment, forgiveness of claims, or other terms favorable to the debtor, for the purpose of restructuring or supporting its business management. These claims are not classed as loans corresponding to a claims in arrears for three months or more because delinquency is eliminated when terms favorable to the debtor are renegotiated. In addition, these claims are not categorized as “Doubtful” claims or lower, as it can be judged that there are no significant doubts regarding debt repayment and loss is not expected for these borrowers. In principle, allowances for these exposures are increased when loan concessions are granted.

EAD by asset class for each approach to calculating the amount of credit risk-weighted assets as a proportion of total EAD %

FY2017

Internal Ratings Based Approach 86.27%

Corporate and others 72.92%

Retail 7.46%

Equity 2.82%

Purchased receivables 1.60%

Lease transactions 0.00%

Others 1.46%

Standardized Approach 13.72%

Total 100.00%

Notes: 1. Figures do not include any securitization exposures, exposures relating to funds, or exposures relating to counterparty credit risk for derivatives, etc. 2. The proportion of the amount of exposures is shown for portfolios to which the Standardized Approach is applied.

Exposures relating to funds Millions of yen

FY2017

Exposures relating to funds 3,554,598

Exposures where fund components are identifiable (look-through approach) (Note 1) 3,447,378

Exposures not included above where equity exposures constitute majority of total value of fund components

(Note 2) 70,475

Exposures not included in any categories above where investment mandates of funds are known (Note 3) 25,526

Exposures not included in any categories above where the internal models approach is applied (Note 4) –

Exposures not included in any categories above where there is a high probability of the weighted average

risk weight applied to fund components being less than 400% (Note 5) 6,439

Exposures not included in any categories above (Note 5) 4,778

Notes: 1. As stipulated in Paragraph 1 of Article 145 of the FSA Holding Company Capital Adequacy Notification. 2. As stipulated in Paragraph 2 of Article 145 of the FSA Holding Company Capital Adequacy Notification. 3. As stipulated in Paragraph 3 of Article 145 of the FSA Holding Company Capital Adequacy Notification. 4. As stipulated in Paragraph 4 of Article 145 of the FSA Holding Company Capital Adequacy Notification. 5. As stipulated in Paragraph 5 of Article 145 of the FSA Holding Company Capital Adequacy Notification.


APPENDED FORMS OV1: Overview of RWA (Mitsubishi UFJ Financial Group)

Millions of yen

a b c d

Basel III

Template No.

Risk-weighted assets

(RWA)

Minimum capital

requirements

March 31,

2018

March 31,

2017

March 31,

2018

March 31,

2017

1 Credit risk (excluding counterparty credit risk) 66,871,078 ／ 5,560,941 ／

2 Standardized approach (SA) 19,006,123 ／ 1,520,489 ／

3 Advanced internal ratings-based (A-IRB) approach 44,011,439 ／ 3,732,170 ／

Significant investments exposure – ／ – ／

Estimated lease residual values exposure 21 ／ 1 ／

Others 3,853,494 ／ 308,279 ／

4 Counterparty credit risk (CCR) 8,860,642 ／ 715,946 ／

5 SA-CCR – ／ – ／

Current exposure method 2,674,761 ／ 219,792 ／

6 Expected exposure method – ／ – ／

Credit valuation adjustment (CVA) 4,293,699 ／ 343,495 ／

Central counterparty related exposure (CCP) 702,672 ／ 56,213 ／

Others 1,189,508 ／ 96,443 ／

7 Equity exposures subject to market-based approach 2,033,681 ／ 172,456 ／

Exposures with several underlying assets and transactions – ／ – ／

Equity investment in funds in the IRB approach 3,993,587 ／ 338,656 ／

11 Unsettled transactions 15,105 ／ 1,243 ／

12 Securitization exposures subject to calculation of credit

RWA amounts 1,653,738 ／ 139,175 ／

13 Ratings-based approach (RBA) or Internal assessment

approach (IAA) in the IRB approach 405,643 ／ 34,398 ／

14 Supervisory formula approach (SFA) in the IRB

approach 920,170 ／ 78,030 ／

15 Standardized approach (SA) 182,444 ／ 14,595 ／

Subject to 1250% RW 145,480 ／ 12,150 ／

16 Market risk 2,714,514 ／ 217,161 ／

17 Standardized approach (SA) 944,811 ／ 75,584 ／

18 Internal model approaches (IMA) 1,769,703 ／ 141,576 ／

19 Operational risk 7,236,024 ／ 578,881 ／

20 Basic indicator approach (BIA) 2,291,601 ／ 183,328 ／

21 The standardized approach (TSA) – ／ – ／

22 Advanced measurement approaches (AMA) 4,944,423 ／ 395,553 ／

23 Amounts below the thresholds for deduction (subject to

250% risk weight) 3,035,793 ／ 257,435 ／

Risk weighted assets subject to transitional arrangements – ／ – ／

24 Floor adjustment 13,689,912 ／ 1,095,192 ／

25 Total (including the 1.06 scaling factor) 113,463,618 ／ 9,077,089 ／


LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories

Millions of yen

March 31, 2018

a = b c d e f g

Values as

reported in

consolidated

balance sheet

= Values as

reported in

consolidated

balance sheet

under

regulatory

scope of

consolidation

Carrying values corresponding to each item

Credit risk

(excluding

amounts

classed under

column d and

column e)

Counterparty

credit risk

Securitization

exposures

(excluding

amounts

classed under

column f)

Market risk

Not subject to

calculation of

required capital

or subject to

deduction from

regulatory

capital

Assets: Cash and due from banks 74,713,689 74,549,528 164,160 – – – Call loans and bills bought 482,285 482,285 – – – – Receivables under resale agreements 5,945,875 – 5,945,875 – – – Receivables under securities borrowing transactions 9,266,996 – 9,266,996 – – – Monetary claims bought 5,529,619 3,279,970 – 2,249,649 – – Trading assets 15,247,156 – 9,015,220 – 15,247,156 86,813 Money held in trust 943,153 943,152 – – – 0 Securities 59,266,170 56,721,400 13,844,327 2,383,808 – 160,961 Loans and bills discounted 108,090,994 105,340,108 11,565,016 2,750,881 – 3 Foreign exchanges 2,942,499 2,942,499 – – – – Other assets 12,176,023 4,799,009 5,822,709 8,461 – 1,545,842 Tangible fixed assets 1,369,977 1,369,977 – – – –

Buildings 302,981 302,981 – – – – Land 697,105 697,105 – – – – Lease assets 12,357 12,357 – – – – Construction in progress 119,195 119,195 – – – – Other tangible fixed assets 238,337 238,337 – – – –

Intangible fixed assets 1,246,676 285,845 – – – 960,831 Software 532,285 159,060 – – – 373,225 Goodwill 258,417 3,448 – – – 254,968 Lease assets 351 104 – – – 246 Other intangible fixed assets 455,622 123,231 – – – 332,390

Net defined benefit assets 874,106 264,428 – – – 609,678 Deferred tax assets 89,172 5,809 – – – 83,362 Customers’ liabilities for acceptances and guarantees 9,560,158 9,541,518 – 18,640 – – Allowance for credit losses (807,139) (807,139) – – – – Total assets 306,937,415 259,718,395 55,624,305 7,411,440 15,247,156 3,447,494


March 31, 2018

a = b c d e f g

Values as

reported in

consolidated

balance sheet

= Values as

reported in

consolidated

balance sheet

under

regulatory

scope of

consolidation

Carrying values corresponding to each item

Credit risk

(excluding

amounts

classed under

column d and

column e)

Counterparty

credit risk

Securitization

exposures

(excluding

amounts

classed under

column f)

Market risk

Not subject to

calculation of

required capital

or subject to

deduction from

regulatory

capital

Liabilities: Deposits 177,312,310 – – – – 177,312,310 Negotiable certificates of deposit 9,854,742 – – – – 9,854,742 Call money and bills sold 2,461,088 – – – – 2,461,088 Payables under repurchase agreements 18,088,513 – 18,088,513 – – – Payables under securities lending transactions 8,156,582 – 8,156,582 – – – Commercial papers 2,181,995 – – – – 2,181,995 Trading liabilities 10,898,924 – – – 10,898,924 – Borrowed money 16,399,502 – – – – 16,399,502 Foreign exchanges 2,037,524 – – – – 2,037,524 Short-term bonds payable 847,299 – – – – 847,299 Bonds payable 10,706,252 – – – – 10,706,252 Due to trust accounts 10,382,479 – – – – 10,382,479 Other liabilities 9,270,887 – – – – 9,270,887 Reserve for bonuses 86,581 – – – – 86,581 Reserve for bonuses to directors 620 – – – – 620 Reserve for stocks payment 11,607 – – – – 11,607 Net defined benefit liabilities 59,033 – – – – 59,033 Reserve for retirement benefits to directors 1,088 – – – – 1,088 Reserve for loyalty award credits 17,836 – – – – 17,836 Reserve for contingent losses 318,002 – – – – 318,002 Reserves under special laws 4,319 – – – – 4,319 Deferred tax liabilities 867,919 – – – – 867,919 Deferred tax liabilities for land revaluation 117,104 – – – – 117,104 Acceptances and guarantees 9,560,158 – – – – 9,560,158 Total liabilities 289,642,377 – 26,245,095 – 10,898,924 252,498,357

Note: Carrying values corresponding to market risk in this table do not include assets relating to foreign exchange risk and commodity risk in the banking book.


LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements

Millions of yen

Item No.

March 31, 2018

a b c d e

Total

Items subject to:

Credit risk

(excluding

amounts

classed under

column c and

column d)

Counterparty

credit risk

Securitization

exposures

(excluding

amounts

classed under

column e)

Market risk

1 Amount of assets under regulatory scope of consolidation 303,489,921 259,718,395 55,624,305 7,411,440 15,247,156

2 Amount of liabilities under regulatory scope of consolidation 37,144,020 – 26,245,095 – 10,898,924

3 Net amount of assets and liabilities under regulatory scope of consolidation 266,345,900 259,718,395 29,379,210 7,411,440 4,348,232

4 Off-balance sheet amounts 22,856,712 22,227,858 – 628,853 –

5 Differences due to derivative transactions (Note 1) (2,444,467) – (2,444,467) – –

6 Differences due to repo transactions (Note 2) 11,238,406 – 11,238,406 – –

7 Differences due to consideration of provisions and write-offs (Note 3) 1,153,277 1,153,277 – – –

8 Others (Note 4) 7,063,955 704,977 3,938,384 2,420,594 –

9 Exposure amounts under regulatory scope of consolidation 306,213,784 283,804,508 42,111,532 10,460,888 4,348,232

Notes: 1. These differences are primarily due to regulatory add-on amounts and reductions from netting effects in derivative transactions. 2. These differences are primarily due to consideration of marketable securities placed as collateral in the amount of exposures in repo transactions. 3. These differences are primarily due to the addition of allowance for credit losses and partial direct write-offs. 4. Amounts in columns b and d are primarily due to the addition of amounts raised as an investor in asset securitization transactions via special purpose

companies (SPCs). Amounts in column c are primarily due to regulatory volatility adjustments. 5. Carrying values corresponding to market risk in this table do not include assets relating to foreign exchange risk and commodity risk in the banking book.


CR1: Credit quality of assets Millions of yen

Item No.

March 31, 2018

a b c d

Gross carrying values

Allowances Net values

(a+b-c) Defaulted

exposures

Non-defaulted

exposures

On-balance sheet assets

1 Loans 1,201,187 104,591,505 674,221 105,118,470

2 Debt securities 1,344 45,507,899 – 45,509,244

3 Other on-balance sheet assets (debt instruments) 76,356 81,024,896 119,042 80,982,209

4 Total on-balance sheet assets (1+2+3) 1,278,889 231,124,300 793,264 231,609,925

Off-balance sheet assets

5 Acceptances and guarantees, etc. 83,421 10,210,456 57,984 10,235,893

6 Commitments, etc. 208,188 41,410,403 70,476 41,548,115

7 Total off-balance sheet assets (5+6) 291,609 51,620,859 128,460 51,784,009

Total

8 Total (4+7) 1,570,499 282,745,160 921,725 283,393,934

Notes: 1. When determining default under the Internal Ratings Based Approach, an assessment is made of whether claims are classed as “claims against bankrupt or de facto bankrupt borrowers,” “doubtful claims,” or “claims in need of special attention,” based on the internal ratings system and the asset evaluation and assessment system, in accordance with the stipulations of Paragraph 1 of Article 205 of the FSA Capital Adequacy Notification.

2. When determining default under the Standardized Approach, an assessment is made of when claims are classed as exposures past due for three months or more, in accordance with the stipulations of Paragraph 1 of Article 71 of the FSA Capital Adequacy Notification.

CR3: Credit risk mitigation techniques – overview

Millions of yen

Item No.

March 31, 2018

a b c d e

Exposures

unsecured

Exposures

secured

Exposures

secured by

collateral

Exposures

secured by

financial

guarantees

Exposures

secured by

credit

derivatives

1 Loans 85,695,093 19,423,377 9,297,639 3,883,470 37,495

2 Debt securities 44,487,014 1,022,230 111,251 888,147 –

3 Other on-balance sheet assets (debt instruments) 80,832,981 149,228 25,345 4,519 –

4 Total (1+2+3) 211,015,089 20,594,836 9,434,237 4,776,137 37,495

5 of which defaulted 190,448 666,734 211,055 142,689 –


CR4: Standardized approach – credit risk exposure and Credit Risk Mitigation (CRM) effects Millions of yen, %

Item

No.

March 31, 2018

a b c d e f

Exposures before CCF and CRM Exposures post-CCF and CRM Credit RWA

amounts RWA density

Asset class On-balance

sheet amountsOff-balance

sheet amountsOn-balance

sheet amountsOff-balance

sheet amounts

1 Cash 235,790 – 235,790 – – –

2 Government of Japan and

Bank of Japan 4,709,538 156,042 4,709,538 156,042 – –

3 Central governments and

central banks of foreign

countries 5,314,300 14 5,391,029 7 444,308 8.24%

4 Bank for International

Settlements, etc. – – – – – –

5 Local authorities in Japan 246 – 246 – 0 –

6 Non-central government, etc.

public sector entities in

foreign countries 1,117,075 – 1,138,004 – 227,600 20.00%

7 Multilateral development

banks 54,224 – 54,224 – 2,195 4.04%

8 Local authority financial

institutions – – – – – –

9 Government agencies in

Japan 74,469 2 74,469 1 7,448 10.00%

10 Local authority land

development corporations,

public housing corporations,

and regional public road

corporations – – – – – –

11 Financial institutions and type

I financial instruments

business operators 2,928,062 906,012 2,956,355 268,811 858,305 26.61%

12 Corporates, etc. 10,237,183 7,510,319 9,914,250 2,491,521 12,405,772 100.00%

13 SMEs, etc. and individuals 3,914,404 3,577,741 3,803,904 784,921 3,441,619 75.00%

14 Residential loan secured by

property 4,061,844 0 4,060,460 0 1,421,371

35.00%

15 Business loan for acquisition

of real estate, etc. – – – – –

–

16 Past due for three months or

more, etc. (excluding

residential loans secured by

property) 121,457 4,089 116,658 1,997 162,036 136.55%


more relating to residential

loans secured by property 9,524 – 9,415 – 7,650 81.26%

18 Uncollected notes 138,448 – 138,448 – 27,689 19.99%

19 Guaranteed by credit

guarantee corporations, etc. – – – – – –

20 Guaranteed by Regional

Economy Vitalization

Corporation of Japan, etc. – – – – – –

21 Investments, etc. (excluding

material investments) 123 – 123 – 123 100.00%

22 Total 32,916,694 12,154,222 32,602,917 3,703,303 19,006,123 52.34%


CR5: Standardized approach – exposures by asset classes and risk weights Millions of yen

Item

No.

March 31, 2018

a b c d e f

Credit risk exposure amounts (post-CCF and post-CRM)

Risk weight 0% 10% 20% 35% 50% 75%

Asset class

1 Cash 235,790 – – – – –


Bank of Japan 4,865,580 – – – – –



countries 4,557,434 – 452,793 – 54,116 –


Settlements, etc. – – – – – –

5 Local authorities in Japan 246 – 0 – – –



foreign countries – – 1,138,004 – – –


banks 43,249 – 10,975 – – –


institutions – – – – – –


Japan – 74,469 – – – –





corporations – – – – – –



business operators – – 2,849,282 – 174,873 –

12 Corporates, etc. – – – – 998 –

13 SMEs, etc. and individuals – – – – – 4,588,825


property – – – 4,060,136 – –


of real estate, etc. – – – – – –




property) – – – – 2,952 –



loans secured by property – – – – 3,528 –

18 Uncollected notes – – 138,448 – – –


guarantee corporations, etc. – – – – – –



Corporation of Japan, etc. – – – – – –


material investments) – – – – – –

22 Total 9,702,301 74,469 4,589,504 4,060,136 236,469 4,588,825


Millions of yen

Item

No.

March 31, 2018

g h i j k

Credit risk exposure amounts (post-CCF and post-CRM)

Risk weight 100% 150% 250% 1,250% Total

Asset class

1 Cash – – – – 235,790


Bank of Japan – – – – 4,865,580



countries 326,691 – – – 5,391,036


Settlements, etc. – – – – –

5 Local authorities in Japan – – – – 246



foreign countries – – – – 1,138,004


banks – – – – 54,224


institutions – – – – –


Japan 1 – – – 74,471





corporations – – – – –



business operators 201,010 – – – 3,225,166

12 Corporates, etc. 12,404,772 – – – 12,405,771

13 SMEs, etc. and individuals – – – – 4,588,825


property 324 – – – 4,060,460


of real estate, etc. – – – – –




property) 25,990 89,712 – – 118,656



loans secured by property 5,886 – – – 9,415

18 Uncollected notes – – – – 138,448


guarantee corporations, etc. – – – – –



Corporation of Japan, etc. – – – – –


material investments) 123 – – – 123

22 Total 12,964,801 89,712 – – 36,306,221


CR6: IRB – Credit risk exposures by portfolio and PD range

Millions of yen, %, Thousands of cases, Year

Item No.

March 31, 2018

a b c d e f

PD scale

On-balance

sheet gross

exposure

Off-balance

sheet

exposures

before CCF and

CRM

Average CCFEAD post-CCF

and post-CRM Average PD

Number of

obligors

Sovereign exposures

1 0.00 to <0.15 108,740,151 1,828,726 59.75% 109,930,385 0.00% 0.3

2 0.15 to <0.25 14,684 1,063 100.00% 10,526 0.20% 0.0

3 0.25 to <0.50 64,185 18,255 58.57% 72,102 0.37% 0.0

4 0.50 to <0.75 57,093 – – 57,093 0.66% 0.0

5 0.75 to <2.50 34,038 7,244 58.80% 38,297 1.95% 0.0

6 2.50 to <10.00 8,452 19,201 58.80% 19,743 6.39% 0.0

7 10.00 to <100.00 49,763 – – 46,694 11.99% 0.0

8 100.00 (Default) – – – – – –

9 Sub-total 108,968,370 1,874,491 59.75% 110,174,843 0.00% 0.4

Bank exposures

1 0.00 to <0.15 4,473,894 829,809 51.07% 4,926,314 0.07% 0.5

2 0.15 to <0.25 194,112 206,301 76.50% 351,830 0.20% 0.0

3 0.25 to <0.50 164,892 13,414 38.68% 170,081 0.37% 0.0

4 0.50 to <0.75 18,141 3,203 22.54% 18,863 0.66% 0.0

5 0.75 to <2.50 26,198 23,484 38.59% 35,581 1.62% 0.0

6 2.50 to <10.00 34,855 10,493 42.91% 38,774 6.39% 0.0

7 10.00 to <100.00 4,348 274,534 0.54% 5,326 11.99% 0.0

8 100.00 (Default) 1,023 – – 3,729 100.00% 0.0

9 Sub-total 4,917,467 1,361,241 44.26% 5,550,502 0.22% 0.7

Corporate exposures (excluding SME exposures and specialized lending)

1 0.00 to <0.15 39,659,599 36,656,178 47.77% 57,121,918 0.07% 12.1

2 0.15 to <0.25 6,213,315 5,006,266 21.60% 7,291,315 0.20% 6.1

3 0.25 to <0.50 3,504,737 1,152,814 53.49% 4,108,687 0.37% 5.6

4 0.50 to <0.75 1,757,915 435,859 55.23% 1,998,029 0.66% 3.2

5 0.75 to <2.50 4,187,443 1,018,875 58.68% 4,783,281 1.87% 3.9

6 2.50 to <10.00 481,354 122,462 57.05% 547,680 6.38% 0.8

7 10.00 to <100.00 495,449 397,792 52.56% 715,181 11.99% 0.7

8 100.00 (Default) 497,273 264,254 59.80% 825,838 100.00% 1.5

9 Sub-total 56,797,089 45,054,503 45.47% 77,391,932 1.44% 34.4

SME exposures

1 0.00 to <0.15 161,204 61,580 38.38% 188,556 0.09% 0.7

2 0.15 to <0.25 613,741 45,102 42.34% 632,941 0.20% 2.5

3 0.25 to <0.50 979,147 44,536 41.46% 997,615 0.37% 3.6

4 0.50 to <0.75 661,728 38,523 44.09% 678,716 0.66% 3.2

5 0.75 to <2.50 1,286,549 66,385 52.80% 1,321,604 1.69% 5.2

6 2.50 to <10.00 308,690 6,792 42.44% 311,724 6.39% 1.5

7 10.00 to <100.00 125,995 4,328 40.39% 129,346 11.99% 0.6

8 100.00 (Default) 254,446 3,107 42.23% 358,046 100.00% 5.5

9 Sub-total 4,391,503 270,355 44.08% 4,618,551 9.21% 23.1



Item No.

March 31, 2018

a b c d e f

PD scale

On-balance

sheet gross

exposure

Off-balance

sheet

exposures

before CCF and

CRM



Number of

obligors

Specialized lending exposures

1 0.00 to <0.15 2,544,007 760,537 65.57% 3,043,339 0.08% 0.6

2 0.15 to <0.25 673,385 333,524 63.67% 885,749 0.20% 0.1

3 0.25 to <0.50 1,033,657 283,844 64.52% 1,216,822 0.37% 0.1

4 0.50 to <0.75 388,431 67,286 68.60% 434,593 0.66% 0.0

5 0.75 to <2.50 430,113 146,613 59.21% 516,927 1.71% 0.1

6 2.50 to <10.00 63,971 31,373 64.29% 84,142 6.39% 0.0

7 10.00 to <100.00 88,220 8,805 88.31% 97,791 11.99% 0.0

8 100.00 (Default) 52,692 14,107 67.92% 64,465 100.00% 0.0

9 Sub-total 5,274,480 1,646,092 64.68% 6,343,831 1.61% 1.2

Equity exposures (PD/LGD Approach)

1 0.00 to <0.15 6,690,268 17,000 58.80% 6,700,264 0.06% 2.8

2 0.15 to <0.25 289,547 – – 289,547 0.20% 0.6

3 0.25 to <0.50 215,358 – – 215,358 0.37% 0.4

4 0.50 to <0.75 37,430 – – 37,430 0.66% 0.1

5 0.75 to <2.50 60,444 – – 60,444 1.53% 0.2

6 2.50 to <10.00 7,780 – – 7,780 6.39% 0.1

7 10.00 to <100.00 9,739 – – 9,739 11.99% 0.0

8 100.00 (Default) 61,512 – – 61,512 100.00% 0.0

9 Sub-total 7,372,082 17,000 58.80% 7,382,078 0.95% 4.5

Qualifying revolving retail exposures

1 0.00 to <0.15 – 2,990,786 45.09% 1,348,743 0.05% 12,145.6

2 0.15 to <0.25 – 83,338 39.76% 33,135 0.18% 275.2

3 0.25 to <0.50 595,664 815,453 100.00% 1,411,118 0.39% 8,513.9

4 0.50 to <0.75 335,614 1,337,300 72.50% 1,305,229 0.68% 9,879.3

5 0.75 to <2.50 416,108 315,429 50.06% 574,016 1.59% 1,201.4

6 2.50 to <10.00 255,633 118,002 64.82% 332,131 4.40% 732.0

7 10.00 to <100.00 23,636 5,657 43.16% 26,078 36.29% 85.3

8 100.00 (Default) 64,223 1,764 10.11% 64,630 100.00% 186.6

9 Sub-total 1,690,880 5,667,733 60.05% 5,095,084 2.22% 33,019.7

Residential mortgage exposures

1 0.00 to <0.15 103,133 6,611 – 109,744 0.07% 11.9

2 0.15 to <0.25 3,581,720 460 – 3,582,181 0.20% 212.1

3 0.25 to <0.50 7,097,368 52,979 100.00% 7,150,348 0.35% 399.1

4 0.50 to <0.75 1,319,165 2,607 100.00% 1,321,773 0.67% 155.4

5 0.75 to <2.50 1,048,818 32,629 7.12% 1,081,448 1.51% 102.4

6 2.50 to <10.00 15,758 2,769 50.81% 18,528 6.15% 2.5

7 10.00 to <100.00 149,472 3,475 41.80% 152,947 29.47% 11.6

8 100.00 (Default) 104,038 1,299 59.25% 118,817 100.00% 9.1

9 Sub-total 13,419,476 102,833 59.84% 13,535,788 1.64% 904.4



Item No.

March 31, 2018

a b c d e f

PD scale

On-balance

sheet gross

exposure

Off-balance

sheet

exposures

before CCF and

CRM



Number of

obligors

Other retail exposures

1 0.00 to <0.15 – 3,045,614 10.16% 309,512 0.03% 2,818.4

2 0.15 to <0.25 702 13,546 8.73% 1,885 0.19% 6.9

3 0.25 to <0.50 56,388 54,736 89.69% 105,739 0.41% 54.8

4 0.50 to <0.75 662,170 169,818 93.44% 821,004 0.61% 293.8

5 0.75 to <2.50 299,891 361,383 86.81% 614,585 1.58% 1,618.8

6 2.50 to <10.00 287,508 453,817 0.69% 290,968 7.87% 37.6

7 10.00 to <100.00 3,493 1,189 82.96% 4,492 25.42% 2.0

8 100.00 (Default) 120,302 4,217 44.77% 128,009 100.00% 149.3

9 Sub-total 1,430,457 4,104,322 20.42% 2,276,196 7.35% 4,982.0

Purchased receivables (corporate and others) corresponding to default risk

1 0.00 to <0.15 3,730,559 171,485 59.92% 3,842,003 0.06% 1.6

2 0.15 to <0.25 271,731 2,044 58.80% 272,933 0.20% 0.2

3 0.25 to <0.50 136,016 14,675 60.57% 144,906 0.37% 0.1

4 0.50 to <0.75 30,136 542 58.80% 30,455 0.66% 0.0

5 0.75 to <2.50 60,308 15,779 60.46% 69,849 1.99% 0.0

6 2.50 to <10.00 3,958 – – 3,958 6.39% 0.0

7 10.00 to <100.00 15,836 984 76.95% 16,908 11.99% 0.0

8 100.00 (Default) 4,949 – – 4,949 100.00% 0.0

9 Sub-total 4,253,498 205,511 60.08% 4,385,965 0.28% 2.1

Purchased receivables (corporate and others) corresponding to dilution risk

1 0.00 to <0.15 1,604,665 12,180 58.80% 1,611,827 0.07% 0.1

2 0.15 to <0.25 186,882 – – 186,882 0.20% 0.0

3 0.25 to <0.50 76,230 – – 76,230 0.37% 0.0

4 0.50 to <0.75 14,817 – – 14,817 0.66% 0.0

5 0.75 to <2.50 41,368 – – 41,368 1.88% 0.0

6 2.50 to <10.00 2,188 – – 2,188 6.39% 0.0

7 10.00 to <100.00 6,186 – – 6,351 11.99% 0.0

8 100.00 (Default) 9,167 – – 9,167 100.00% 0.0

9 Sub-total 1,941,506 12,180 58.80% 1,948,834 0.65% 0.2

Purchased receivables (retail) corresponding to default risk

1 0.00 to <0.15 28,238 – – 28,238 0.03% 3.4

2 0.15 to <0.25 – – – – – –

3 0.25 to <0.50 – – – – – –

4 0.50 to <0.75 – – – – – –

5 0.75 to <2.50 37,967 – – 37,967 2.12% 6.9

6 2.50 to <10.00 148 – – 148 3.16% 0.3

7 10.00 to <100.00 1 – – 1 31.43% 0.0

8 100.00 (Default) 2,147 – – 2,477 100.00% 0.5

9 Sub-total 68,503 – – 68,833 4.79% 11.2



Item No.

March 31, 2018

a b c d e f

PD scale

On-balance

sheet gross

exposure

Off-balance

sheet

exposures

before CCF and

CRM



Number of

obligors

Purchased receivables (retail) corresponding to dilution risk

1 0.00 to <0.15 31,058 – – 31,058 0.04% 0.0

2 0.15 to <0.25 – – – – – –

3 0.25 to <0.50 – – – – – –

4 0.50 to <0.75 – – – – – –

5 0.75 to <2.50 0 – – 0 2.11% 0.0

6 2.50 to <10.00 – – – – – –

7 10.00 to <100.00 8,949 – – 8,949 11.99% 0.0

8 100.00 (Default) 0 – – 0 100.00% 0.0

9 Sub-total 40,009 – – 40,009 2.72% 0.0

Exposures relating to lease fees in lease transactions

1 0.00 to <0.15 – – – – – –

2 0.15 to <0.25 – – – – – –

3 0.25 to <0.50 – – – – – –

4 0.50 to <0.75 1 – – 1 0.56% 0.0

5 0.75 to <2.50 – – – – – –

6 2.50 to <10.00 – – – – – –

7 10.00 to <100.00 5 – – 5 29.82% 0.0

8 100.00 (Default) 24 – – 24 100.00% 0.0

9 Sub-total 31 – – 31 81.97% 0.0

Total (all portfolios) 210,565,356 60,316,266 46.15% 238,812,483 0.95% 38,983.6


CR6: IRB – Credit risk exposures by portfolio and PD range


Item No.

March 31, 2018

g h i j k l

PD scale Average

LGD

Average

residual

maturity

RWA RWA density EL Eligible

provisions

Sovereign exposures

1 0.00 to <0.15 38.12% 1.7 701,133 0.63% 977 ／

2 0.15 to <0.25 32.68% 3.3 4,180 39.71% 6 ／

3 0.25 to <0.50 23.33% 2.0 19,714 27.34% 62 ／

4 0.50 to <0.75 31.78% 1.1 25,955 45.46% 119 ／

5 0.75 to <2.50 29.00% 3.3 29,921 78.12% 215 ／

6 2.50 to <10.00 28.67% 2.3 20,771 105.20% 361 ／

7 10.00 to <100.00 5.55% 2.0 11,638 24.92% 310 ／

8 100.00 (Default) – – – – – ／

9 Sub-total 38.09% 1.7 813,315 0.73% 2,054 2,763

Bank exposures

1 0.00 to <0.15 35.56% 1.4 896,677 18.20% 1,336 ／

2 0.15 to <0.25 35.66% 0.8 100,822 28.65% 250 ／

3 0.25 to <0.50 33.50% 0.7 57,900 34.04% 210 ／

4 0.50 to <0.75 36.07% 0.5 8,267 43.82% 44 ／

5 0.75 to <2.50 37.20% 1.2 26,759 75.20% 213 ／

6 2.50 to <10.00 6.57% 3.7 10,527 27.15% 162 ／

7 10.00 to <100.00 37.96% 0.8 9,257 173.78% 242 ／

8 100.00 (Default) 68.98% – 1,761 47.25% 2,431 ／

9 Sub-total 35.34% 1.3 1,111,973 20.03% 4,893 5,941

Corporate exposures (excluding SME exposures and specialized lending)

1 0.00 to <0.15 36.29% 2.6 12,314,725 21.55% 15,126 ／

2 0.15 to <0.25 32.70% 2.8 2,587,715 35.49% 4,769 ／

3 0.25 to <0.50 29.44% 2.6 1,669,363 40.63% 4,476 ／

4 0.50 to <0.75 26.34% 2.6 919,220 46.00% 3,473 ／

5 0.75 to <2.50 27.76% 2.4 3,290,140 68.78% 25,103 ／

6 2.50 to <10.00 24.28% 2.2 483,828 88.34% 8,498 ／

7 10.00 to <100.00 29.15% 2.5 978,458 136.81% 24,999 ／

8 100.00 (Default) 36.43% – 326,422 39.52% 275,859 ／

9 Sub-total 34.65% 2.6 22,569,874 29.16% 362,306 540,871

SME exposures

1 0.00 to <0.15 30.22% 2.7 34,124 18.09% 51 ／

2 0.15 to <0.25 23.94% 2.7 135,527 21.41% 303 ／

3 0.25 to <0.50 24.21% 2.7 303,906 30.46% 893 ／

4 0.50 to <0.75 21.49% 2.4 213,971 31.52% 963 ／

5 0.75 to <2.50 20.15% 2.5 542,065 41.01% 4,509 ／

6 2.50 to <10.00 17.79% 2.0 166,891 53.53% 3,544 ／

7 10.00 to <100.00 17.94% 1.7 90,433 69.91% 2,782 ／

8 100.00 (Default) 43.04% – 191,817 53.57% 139,472 ／

9 Sub-total 23.71% 2.5 1,678,737 36.34% 152,520 210,735



Item No.

March 31, 2018

g h i j k l

PD scale Average

LGD

Average

residual

maturity


provisions


1 0.00 to <0.15 29.70% 4.0 781,554 25.68% 801 ／

2 0.15 to <0.25 31.39% 4.0 373,280 42.14% 556 ／

3 0.25 to <0.50 27.50% 4.0 622,060 51.12% 1,238 ／

4 0.50 to <0.75 24.83% 4.4 255,409 58.76% 712 ／

5 0.75 to <2.50 26.57% 4.1 399,510 77.28% 2,354 ／

6 2.50 to <10.00 30.42% 3.4 99,189 117.88% 1,636 ／

7 10.00 to <100.00 25.47% 3.4 120,099 122.81% 2,986 ／

8 100.00 (Default) 23.14% – 24,305 37.70% 13,135 ／

9 Sub-total 28.80% 4.0 2,675,409 42.17% 23,421 35,877

Equity exposures (PD/LGD Approach)

1 0.00 to <0.15 90.00% 5.0 7,001,983 104.50% 4,113 ／

2 0.15 to <0.25 90.00% 5.0 407,669 140.79% 521 ／

3 0.25 to <0.50 90.00% 5.0 448,653 208.32% 717 ／

4 0.50 to <0.75 90.00% 5.0 84,830 226.63% 222 ／

5 0.75 to <2.50 90.00% 5.0 191,826 317.35% 834 ／

6 2.50 to <10.00 90.00% 5.0 35,605 457.64% 447 ／

7 10.00 to <100.00 90.00% 5.0 58,903 604.77% 1,051 ／

8 100.00 (Default) 90.00% – 692,018 1,125.00% 55,361 ／

9 Sub-total 90.00% 5.0 8,921,490 120.85% 63,267

Qualifying revolving retail exposures

1 0.00 to <0.15 72.74% – 34,939 2.59% 540 ／

2 0.15 to <0.25 68.62% – 2,236 6.75% 40 ／

3 0.25 to <0.50 78.40% – 202,890 14.37% 4,325 ／

4 0.50 to <0.75 81.74% – 307,743 23.57% 7,399 ／

5 0.75 to <2.50 80.13% – 247,348 43.09% 7,256 ／

6 2.50 to <10.00 84.05% – 308,549 92.89% 12,222 ／

7 10.00 to <100.00 78.23% – 58,182 223.10% 7,458 ／

8 100.00 (Default) 79.03% – 162 0.25% 54,386 ／

9 Sub-total 78.26% – 1,162,052 22.80% 93,629 46,571

Residential mortgage exposures

1 0.00 to <0.15 80.23% – 13,337 12.15% 50 ／

2 0.15 to <0.25 31.46% – 456,226 12.73% 2,294 ／

3 0.25 to <0.50 31.31% – 1,359,279 19.00% 7,932 ／

4 0.50 to <0.75 30.07% – 382,651 28.94% 2,691 ／

5 0.75 to <2.50 31.76% – 545,112 50.40% 5,127 ／

6 2.50 to <10.00 30.04% – 19,830 107.02% 333 ／

7 10.00 to <100.00 30.92% – 225,533 147.45% 13,831 ／

8 100.00 (Default) 32.75% – 28,350 23.86% 36,648 ／

9 Sub-total 31.67% – 3,030,321 22.38% 68,910 32,134



Item No.

March 31, 2018

g h i j k l

PD scale Average

LGD

Average

residual

maturity


provisions


1 0.00 to <0.15 0.06% – 43 0.01% 0 ／

2 0.15 to <0.25 84.02% – 641 34.02% 3 ／

3 0.25 to <0.50 29.92% – 19,440 18.38% 121 ／

4 0.50 to <0.75 29.66% – 212,208 25.84% 1,542 ／

5 0.75 to <2.50 34.52% – 258,110 41.99% 3,726 ／

6 2.50 to <10.00 18.93% – 101,214 34.78% 3,686 ／

7 10.00 to <100.00 42.28% – 4,522 100.67% 526 ／

8 100.00 (Default) 51.74% – 12,346 9.64% 65,734 ／

9 Sub-total 26.90% – 608,528 26.73% 75,340 33,788

Purchased receivables (corporate and others) corresponding to default risk

1 0.00 to <0.15 32.98% 1.3 481,516 12.53% 883 ／

2 0.15 to <0.25 31.39% 1.6 80,685 29.56% 179 ／

3 0.25 to <0.50 34.73% 2.1 65,964 45.52% 186 ／

4 0.50 to <0.75 34.38% 2.0 17,274 56.71% 69 ／

5 0.75 to <2.50 35.08% 1.8 62,003 88.76% 486 ／

6 2.50 to <10.00 28.86% 1.7 3,966 100.19% 73 ／

7 10.00 to <100.00 30.53% 2.3 30,116 178.11% 812 ／

8 100.00 (Default) 26.27% – 8 0.17% 1,300 ／

9 Sub-total 32.96% 1.4 741,536 16.90% 3,992 6,428

Purchased receivables (corporate and others) corresponding to dilution risk

1 0.00 to <0.15 37.91% 1.1 222,442 13.80% 453 ／

2 0.15 to <0.25 37.95% 1.0 48,654 26.03% 141 ／

3 0.25 to <0.50 37.70% 1.0 28,124 36.89% 106 ／

4 0.50 to <0.75 38.20% 1.2 7,962 53.73% 37 ／

5 0.75 to <2.50 37.62% 1.2 37,874 91.55% 293 ／

6 2.50 to <10.00 38.28% 1.0 2,710 123.81% 53 ／

7 10.00 to <100.00 38.51% 1.0 10,280 161.86% 293 ／

8 100.00 (Default) 23.37% – 3,533 38.54% 1,879 ／

9 Sub-total 37.83% 1.1 361,582 18.55% 3,259 5,690

Purchased receivables (retail) corresponding to default risk

1 0.00 to <0.15 31.39% – 811 2.87% 2 ／

2 0.15 to <0.25 – – – – – ／

3 0.25 to <0.50 – – – – – ／

4 0.50 to <0.75 – – – – – ／

5 0.75 to <2.50 38.61% – 28,483 75.02% 312 ／

6 2.50 to <10.00 31.39% – 119 80.50% 1 ／

7 10.00 to <100.00 69.60% – 3 179.74% 0 ／

8 100.00 (Default) 35.08% – 278 11.23% 846 ／

9 Sub-total 35.51% – 29,696 43.14% 1,163 547



Item No.

March 31, 2018

g h i j k l

PD scale Average

LGD

Average

residual

maturity


provisions

Purchased receivables (retail) corresponding to dilution risk

1 0.00 to <0.15 100.00% – 10,018 32.25% 15 ／

2 0.15 to <0.25 – – – – – ／

3 0.25 to <0.50 – – – – – ／

4 0.50 to <0.75 – – – – – ／

5 0.75 to <2.50 100.00% – 0 268.87% 0 ／

6 2.50 to <10.00 – – – – – ／

7 10.00 to <100.00 100.00% – 37,599 420.12% 1,073 ／

8 100.00 (Default) 125.87% – 0 100.00% – ／

9 Sub-total 100.00% – 47,618 119.01% 1,088 317

Exposures relating to lease fees in lease transactions

1 0.00 to <0.15 – – – – – ／

2 0.15 to <0.25 – – – – – ／

3 0.25 to <0.50 – – – – – ／

4 0.50 to <0.75 95.68% – 1 73.46% 0 ／

5 0.75 to <2.50 – – – – – ／

6 2.50 to <10.00 – – – – – ／

7 10.00 to <100.00 95.68% – 13 244.13% 1 ／

8 100.00 (Default) 95.68% – 12 51.00% 22 ／

9 Sub-total 95.68% – 27 86.26% 24 13

Total (all portfolios) 38.29% 2.0 43,752,165 18.32% 855,872 921,681


CR7: IRB – Effect on RWA of credit derivatives used as CRM techniques Millions of yen

Item No. Portfolio

March 31, 2018

a b

Pre-credit

derivatives

RWA

Actual RWA

1 Sovereign exposures − FIRB – –

2 Sovereign exposures − AIRB 815,100 813,315

3 Bank exposures − FIRB – –

4 Bank exposures − AIRB 1,113,581 1,111,973

5 Corporate exposures (excluding specialized lending) − FIRB – –

6 Corporate exposures (excluding specialized lending) − AIRB 24,305,569 24,248,611

7 Specialized lending − FIRB – –

8 Specialized lending − AIRB 2,675,409 2,675,409

9 Retail - Qualifying revolving retail exposures 1,162,052 1,162,052

10 Retail - Residential mortgage exposures 3,030,321 3,030,321

11 Other retail exposures 608,528 608,528

12 Equity − FIRB – –

13 Equity − AIRB 8,921,490 8,921,490

14 Purchased receivables − FIRB – –

15 Purchased receivables − AIRB 1,180,434 1,180,434

16 Exposures relating to lease fees in lease transactions 27 27

17 Total 43,812,517 43,752,165

CR9: IRB – Backtesting of probability of default (PD) per portfolio

%, Case March 31, 2018

a b c d e f g h i

Portfolio PD range

Corresponding external rating Weighted average PD

(EAD weighted) (Note 3)

Arithmetic average PD (by obligors)

(Note 4)

Number of obligors (Note 5)

Defaulted obligors

during the period

(Note 5)

New defaulted obligors

during the period

(Note 5)

Average historical annual

default rate (5 years)

S&P Moody’s Fitch

(Note 2) R&I JCR

September 30, 2016(Note 6)

September 30, 2017 (Note 7)

Sovereign 0.00% to <0.15%

AAA~ BBB

Aaa~ Baa3

– AAA~ BBB−

AAA~ BBB+

0.01% 0.05% 187 183 0 0 0.01%

0.15% to <0.25%

– – – AA−~

AA−– 0.20% 0.20% 7 7 0 0 0.06%

0.25% to <0.50%

BBB~ BB−

Baa2~ Ba2

– A+~ A+ – 0.37% 0.37% 9 11 0 0 0.07%

0.50% to <0.75%

B+~ B+ – – – – 0.66% 0.66% 12 9 0 0 0.13%

0.75% to <2.50%

CCC+~ CCC+

B3~ B3 – – – 1.96% 1.76% 9 8 1 0 0.56%

2.50% to <10.00%

BBB−~ B−

Ba1~ Caa1

– – – 6.39% 6.39% 2 1 0 0 3.19%

10.00% to <100.00%

– – – – – 11.99% 11.99% 14 18 0 0 7.14%

100.00% (Default)

– – – – – – – 1 0 – – 100.00%

Bank 0.00% to <0.15%

AAA~ BB−

Aaa~ Ba2

– AA+~ BBB+

AAA~ BBB+

0.08% 0.08% 389 356 0 0 0.02%

0.15% to <0.25%

A+~ BB−

A1~ Ba3 – AA−~ BBB+

AA−~ A−

0.20% 0.20% 60 46 0 0 0.06%

0.25% to <0.50%

A~ B+ A1~ B2 – AA−~

A−AA~

BBB+0.37% 0.37% 58 52 0 0 0.07%

0.50% to <0.75%

BBB~ B Baa1~

B3 – A+~ A−

A+~ BBB+

0.66% 0.66% 51 43 0 0 0.13%

0.75% to <2.50%

A~ B− A1~

Caa1 – A~ A A~ BBB 1.62% 1.65% 45 28 0 0 0.50%

2.50% to <10.00%

BB+~ B−

Caa2~ Caa2

– – – 6.39% 6.39% 4 2 0 0 3.19%

10.00% to <100.00%

CCC+~ CCC+

B3~ B3 – – – 11.99% 11.99% 3 4 0 0 7.14%

100.00% (Default)

– – – – – 100.00% 100.00% 2 2 – – 100.00%



a b c d e f g h i

Portfolio PD range




(Note 4)


Defaulted obligors

during the period

(Note 5)


during the period

(Note 5)



S&P Moody’s Fitch

(Note 2) R&I JCR



Corporate / Specialized lending / Equity / Purchased receivables (corporate and others) (Note 1)

0.00% to <0.15%

AAA~ B+

Aaa~ B3 – AA+~ BAAA~

BB−0.06% 0.06% 10,249 12,423 1 0 0.03%

0.15% to <0.25%

A~ B+ A2~ B2 – AA~ BB+

AA~ BB−

0.20% 0.20% 8,325 8,579 2 0 0.06%

0.25% to <0.50%

A~ B+ A3~ B3 – A−~ BB−

AA−~ BB

0.37% 0.37% 9,049 9,057 6 0 0.07%

0.50% to <0.75%

A+~ B Baa2~

B3 –

A~ BBB−

A+~ BBB−

0.66% 0.66% 7,385 6,759 5 2 0.13%

0.75% to <2.50%

AA−~ B−

A3~ Caa1

– AA−~

B+AA−~

BB+1.88% 1.65% 11,014 9,687 36 1 0.51%

2.50% to <10.00%

BBB~ B−

Baa2~ Caa2

– BBB+~

BB+A−~ BB+

6.39% 6.39% 2,993 2,644 61 2 3.19%

10.00% to <100.00%

BB+~ CCC+

Ba2~ Caa3

– B+~ B+AA−~

BB11.99% 11.99% 1,958 1,551 108 1 7.14%

100.00% (Default)

BB−~ B B1~

Caa1 –

BB−~ BB−

BB~ D 100.00% 100.00% 8,829 7,577 – – 100.00%

Purchased receivables (retail)

0.00% to <0.15%

／／／／／ 0.03% 0.03% 4,755 3,624 0 0 0.01%

0.15% to <0.25%

／／／／／ – – 0 0 0 0 –

0.25% to <0.50%

／／／／／ – – 0 0 0 0 –

0.50% to <0.75%

／／／／／ – – 0 0 0 0 –

0.75% to <2.50%

／／／／／ 2.13% 2.13% 7,749 7,407 123 0 1.61%

2.50% to <10.00%

／／／／／ 3.16% 3.16% 410 374 7 0 2.52%

10.00% to <100.00%

／／／／／ 31.44% 31.44% 23 15 2 0 25.89%

100.00% (Default)

／／／／／ 100.00% 100.00% 576 543 – – 100.00%

Qualifying revolving retail

0.00% to <0.15%

／／／／／ 0.05% 0.06% 12,220,032 11,915,970 4,824 43 0.05%

0.15% to <0.25%

／／／／／ 0.18% 0.18% 270,741 275,465 238 17 0.12%

0.25% to <0.50%

／／／／／ 0.39% 0.40% 8,818,161 8,697,215 24,498 1,306 0.26%

0.50% to <0.75%

／／／／／ 0.69% 0.67% 8,720,724 9,533,724 37,779 5,029 0.38%

0.75% to <2.50%

／／／／／ 1.46% 1.58% 1,265,064 1,244,317 8,430 180 0.73%

2.50% to <10.00%

／／／／／ 3.21% 4.32% 676,639 732,138 28,390 2,273 3.76%

10.00% to <100.00%

／／／／／ 38.58% 37.73% 103,936 80,813 33,022 522 33.29%

100.00% (Default)

／／／／／ 100.00% 100.00% 180,487 172,023 – – 100.00%

Residential mortgage

0.00% to <0.15%

／／／／／ 0.07% 0.07% 13,909 12,504 4 1 0.00%

0.15% to <0.25%

／／／／／ 0.20% 0.20% 231,478 220,880 156 37 0.07%

0.25% to <0.50%

／／／／／ 0.35% 0.34% 338,830 371,243 716 2 0.28%

0.50% to <0.75%

／／／／／ 0.68% 0.66% 137,256 154,711 405 0 0.39%

0.75% to <2.50%

／／／／／ 1.03% 1.26% 92,495 101,738 459 8 0.60%

2.50% to <10.00%

／／／／／ 4.02% 5.40% 3,127 2,560 104 0 3.72%

10.00% to <100.00%

／／／／／ 22.22% 28.12% 11,851 11,792 2,724 14 22.89%

100.00% (Default)

／／／／／ 100.00% 100.00% 9,065 7,676 – – 100.00%



a b c d e f g h i

Portfolio PD range




(Note 4)


Defaulted obligors

during the period

(Note 5)


during the period

(Note 5)



S&P Moody’s Fitch

(Note 2) R&I JCR



Other retail 0.00% to <0.15%

／／／／／ 0.03% 0.03% 2,958,281 2,869,373 72 0 0.01%

0.15% to <0.25%

／／／／／ 0.24% 0.22% 7,584 7,199 13 0 0.14%

0.25% to <0.50%

／／／／／ 0.33% 0.33% 54,386 52,400 85 2 0.13%

0.50% to <0.75%

／／／／／ 0.55% 0.61% 250,740 274,673 308 33 0.26%

0.75% to <2.50%

／／／／／ 1.95% 2.01% 1,704,099 1,642,044 4,712 16 1.34%

2.50% to <10.00%

／／／／／ 7.87% 5.70% 48,719 44,019 1,281 67 2.64%

10.00% to <100.00%

／／／／／ 28.26% 30.78% 2,226 1,990 201 8 17.27%

100.00% (Default)

／／／／／ 100.00% 100.00% 103,881 98,388 – – 100.00%

Notes: 1. Corporate, specialized lending, equity, and purchased receivables (corporate and others) portfolios are presented together as the same internal ratings system is used for these portfolios.

2. “–” is presented for Fitch ratings as these ratings are not used for estimating PD for portfolios covered in this table. 3. EAD-weighted average PD as of March 31, 2018 is presented. 4. The arithmetic average PD calculated using the number of obligors as of March 31, 2018 is presented. However, for purchased receivables (retail),

qualifying revolving retail, residential mortgage, and loans to individuals among other retail, the arithmetic average is calculated with the number of receivables, in line with the method used for measuring PD.

5. For purchased receivables (retail), qualifying revolving retail, residential mortgage, and loans to individuals among other retail, the number of receivables is presented, in line with the method used for measuring PD.

6. The number of obligors as of September 30, 2016 is presented, in accordance with the measurement period used for estimating the PD (one year from September 30).

7. The number of obligors as of September 30, 2017 is presented, in accordance with the measurement period used for estimating the PD (one year from September 30).

8. The proportion of the total amount of credit risk-weighted assets included in this table to the amount of credit risk-weighted assets for MUFG as a whole calculated with the AIRB are as follows: Sovereign: 1.78% Bank: 2.43% Corporate / Specialized lending / Equity / Purchased receivables (corporate and others): 80.87% Purchased receivables (retail): 0.17% Qualifying revolving retail: 2.54% Residential mortgage: 6.63% Other retail: 1.33%


CR10: IRB – Specialized lending exposures (supervisory slotting criteria) and equity exposures (Market-Based Approach, etc.)

Millions of yen, % March 31, 2018

a b c d e f g h i j k l

Specialized lending exposures (supervisory slotting criteria)

Other than high-volatility commercial real estate (HVCRE)

Regulatory categories

Residual maturity

On-balance sheet

amounts

Off-balance sheet

amounts Risk weight

Exposure at default (EAD) RWA

Expected losses PF OF CF IPRE Total

Strong Less than 2.5 years

5,866 – 50% – – – 5,866 5,866 2,933 –

2.5 years or more

55,941 11,688 70% – 4,453 – 58,315 62,769 43,938 251

Good Less than 2.5 years

44,087 4,010 70% – 2,421 – 44,025 46,446 32,512 185

2.5 years or more

51,036 35,949 90% – 48,656 – 23,518 72,174 64,957 577

Satisfactory ／ 5,000 7,900 115% – – – 9,645 9,645 11,091 270

Weak ／ – – 250% – – – – – – –

Default ／ 566 – – – 3,102 – – 3,102 – 1,551

Total ／ 162,498 59,548 – – 58,633 – 141,370 200,004 155,433 2,835

High-volatility commercial real estate (HVCRE)

Regulatory categories

Residual maturity

On-balance sheet

amounts

Off-balance sheet

amounts Risk weight

Exposure at

default (EAD) RWA

Expected losses

Strong Less than 2.5 years

– – 70%

– – –

2.5 years or more

– – 95% – – –

Good Less than 2.5 years

29,774 14,683 95% 38,408 36,487 153

2.5 years or more

7,319 2,246 120% 8,640 10,368 34

Satisfactory ／ 8,777 23,049 140% 22,330 31,262 625

Weak ／ – 17,498 250% 10,288 25,722 823

Default ／ – – – – – –

Total ／ 45,870 57,477 – 79,667 103,840 1,636

Equity exposures (Market-Based Approach, etc.)

Equity exposures subject to the Market-Based Approach

Category On-balance

sheet amounts

Off-balance sheet

amounts Risk weight

Exposure at

default (EAD) RWA

Simple Risk Weight Method – publicly traded equities

128,495 11,480 300%

139,976 419,928

Simple Risk Weight Method – unlisted equities

403,438 – 400% 403,438 1,613,752

Internal Models Method – – – –

Total 531,934 11,480 – 543,414 2,033,681

Equity exposures subject to a risk weight of 100%

Equity exposures subject to a risk weight of 100% as stipulated in Paragraph 1 of Article 166 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 144 of the FSA Holding Company Capital Adequacy Notification

– – 100% – –


CCR1: Analysis of counterparty credit risk (CCR) exposure by approach Millions of yen

Item No.

March 31, 2018

a b c d e f

Replacement

cost Add-on EEPE

Alpha used for

computing

regulatory EAD

EAD post-

CRM RWA

1 SA-CCR – – ／ 1.4 – –

Current exposure method 3,037,273 3,480,377 ／／ 6,503,807 2,674,761

2 Expected exposure method ／／ – – – –

3 Simple Approach for credit risk

mitigation ／／／／ – –

4 Comprehensive Approach

for credit risk mitigation ／／／／ 30,630,850 1,189,508

5 Exposure variation estimation

model ／／／／ – –

6 Total ／／／／／ 3,864,270

CCR2: Credit valuation adjustment (CVA) capital charge

Millions of yen

Item No.

March 31, 2018

a b

EAD post-

CRM

RWA (Amount

obtained by dividing amount corresponding to CVA risk by

8%)

1 Total portfolios subject to advanced risk measurement method – –

2 (i) Amount of CVA Value at Risk (including the multiplier) ／ –

3 (ii) Amount of CVA Stressed Value at Risk (including the multiplier) ／ –

4 Total portfolios subject to standardized risk measurement method 6,284,479 4,293,699

5 Total portfolios subject to amount corresponding to CVA risk 6,284,479 4,293,699


CCR3: CCR exposures by regulatory portfolio and risk weights Millions of yen

Item No.

March 31, 2018

a b c d e f g h i

Credit equivalent amounts (after taking into account the CRM effects)

Risk weight 0% 10% 20% 50% 75% 100% 150% Others Total Regulatory

portfolio

1 Government of

Japan and Bank

of Japan 2,366 – – – – – – – 2,366

2 Central

governments

and central

banks of foreign

countries 15,621 – 829,570 9,987 – 8,262 – – 863,442

3 Bank for

International

Settlements, etc. 5,183 – – – – – – – 5,183

4 Local authorities

in Japan – – – – – – – – –

5 Non-central

government, etc.

public sector

entities in foreign

countries – – 801 – – – – – 801

6 Multilateral

development

banks 3,062 – – 788 – – – – 3,851

7 Local authority

financial

institutions – – – – – – – – –

8 Government

agencies in

Japan – 3,351 75 – – – – – 3,427

9 Local authority

land

development

corporations,

public housing

corporations,

and regional

public road

corporations – – – – – – – – –

10 Financial

institutions and

type I financial

instruments

business

operators – – 1,264,921 191,301 – 46,251 122 – 1,502,596

11 Corporates, etc. – – – – – 986,226 – – 986,226

12 SMEs, etc. and

individuals – – – – 178 – – – 178

13 Other than the

above – – – – – 824,691 0 – 824,691

14 Total 26,233 3,351 2,095,369 202,077 178 1,865,431 122 – 4,192,764


CCR4: IRB – CCR exposures by portfolio and PD scale


Item No.

March 31, 2018

a b c d e f g

PD scale

EAD (after taking into

account the CRM effects)

Average PDNumber of

counterpartiesAverage LGD

Average

residual

maturity

RWA RWA density

Sovereign exposures

1 0.00 to <0.15 27,551,623 0.00% 0.0 38.21% 4.8 31,660 0.11%

2 0.15 to <0.25 291 0.20% 0.0 38.58% 4.9 167 57.48%

3 0.25 to <0.50 1,110 0.37% 0.0 37.42% 3.7 679 61.16%

4 0.50 to <0.75 53 0.66% 0.0 36.78% 1.0 26 49.24%

5 0.75 to <2.50 1,599 1.07% 0.0 0.20% 0.2 9 0.56%

6 2.50 to <10.00 – – – – – – –

7 10.00 to <100.00 637 11.99% 0.0 0.98% 4.3 28 4.42%

8 100.00 (Default) – – – – – – –

9 Sub-total 27,555,316 0.00% 0.0 38.20% 4.8 32,571 0.11%

Bank exposures

1 0.00 to <0.15 2,520,631 0.07% 0.8 28.38% 2.3 494,651 19.62%

2 0.15 to <0.25 92,123 0.20% 0.2 23.94% 1.9 21,866 23.73%

3 0.25 to <0.50 9,632 0.37% 0.0 15.18% 3.6 2,155 22.37%

4 0.50 to <0.75 12,762 0.66% 0.0 9.26% 3.4 2,377 18.62%

5 0.75 to <2.50 70,427 2.06% 0.0 19.66% 3.6 46,293 65.73%

6 2.50 to <10.00 7 6.39% 0.0 36.78% 1.4 8 122.94%

7 10.00 to <100.00 22,932 11.99% 0.0 34.33% 1.7 38,047 165.90%

8 100.00 (Default) – – – – – – –

9 Sub-total 2,728,517 0.23% 1.2 27.92% 2.3 605,399 22.18%

Corporate exposures

1 0.00 to <0.15 2,113,149 0.07% 3.7 36.64% 3.0 529,086 25.03%

2 0.15 to <0.25 147,676 0.20% 1.3 36.38% 3.6 71,899 48.68%

3 0.25 to <0.50 53,913 0.36% 1.0 34.00% 2.9 26,785 49.68%

4 0.50 to <0.75 17,386 0.65% 0.5 33.86% 3.0 10,993 63.23%

5 0.75 to <2.50 52,261 1.87% 0.8 27.03% 3.3 37,854 72.43%

6 2.50 to <10.00 3,838 6.39% 0.1 31.59% 2.9 4,523 117.86%

7 10.00 to <100.00 45,252 11.99% 0.3 20.32% 3.3 41,782 92.33%

8 100.00 (Default) 6,449 100.00% 0.0 24.71% – 2,473 38.34%

9 Sub-total 2,439,927 0.62% 8.0 35.99% 3.1 725,400 29.73%

SME exposures

1 0.00 to <0.15 2,118 0.09% 0.1 29.91% 2.6 333 15.74%

2 0.15 to <0.25 7,448 0.20% 0.5 27.22% 3.1 1,814 24.36%

3 0.25 to <0.50 10,752 0.37% 0.8 25.09% 2.8 3,300 30.69%

4 0.50 to <0.75 6,904 0.66% 0.7 24.16% 3.0 2,566 37.17%

5 0.75 to <2.50 12,193 1.61% 1.2 21.21% 3.2 5,368 44.02%

6 2.50 to <10.00 3,297 6.39% 0.2 19.60% 3.9 2,112 64.06%

7 10.00 to <100.00 1,544 11.99% 0.1 9.17% 4.0 581 37.63%

8 100.00 (Default) 340 100.00% 0.0 30.39% – 158 46.63%

9 Sub-total 44,599 2.32% 4.0 23.56% 3.1 16,235 36.40%



Item No.

March 31, 2018

a b c d e f g

PD scale

EAD (after taking into

account the CRM effects)

Average PDNumber of

counterpartiesAverage LGD

Average

residual

maturity

RWA RWA density


1 0.00 to <0.15 83,501 0.09% 0.2 36.93% 4.8 30,588 36.63%

2 0.15 to <0.25 33,033 0.20% 0.0 37.70% 4.8 18,178 55.03%

3 0.25 to <0.50 29,525 0.37% 0.0 37.71% 4.3 19,940 67.53%

4 0.50 to <0.75 3,671 0.66% 0.0 37.64% 4.8 3,309 90.14%

5 0.75 to <2.50 18,817 2.00% 0.0 38.35% 4.9 23,178 123.18%

6 2.50 to <10.00 48 6.39% 0.0 37.21% 3.7 72 147.68%

7 10.00 to <100.00 432 11.99% 0.0 37.39% 3.6 789 182.39%

8 100.00 (Default) 207 100.00% 0.0 38.66% – 115 55.87%

9 Sub-total 169,237 0.54% 0.4 37.39% 4.7 96,173 56.82%


1 0.00 to <0.15 – – – – – – –

2 0.15 to <0.25 – – – – – – –

3 0.25 to <0.50 – – – – – – –

4 0.50 to <0.75 2,170 0.60% 0.6 33.91% – 591 27.24%

5 0.75 to <2.50 – – – – – – –

6 2.50 to <10.00 216 7.37% 0.2 49.41% – 170 78.50%

7 10.00 to <100.00 – – – – – – –

8 100.00 (Default) – – – – – – –

9 Sub-total 2,387 1.21% 0.8 35.31% – 761 31.89%

Purchased receivables

1 0.00 to <0.15 – – – – – – –

2 0.15 to <0.25 – – – – – – –

3 0.25 to <0.50 – – – – – – –

4 0.50 to <0.75 – – – – – – –

5 0.75 to <2.50 603 1.07% 0.0 38.58% 2.1 465 77.12%

6 2.50 to <10.00 – – – – – – –

7 10.00 to <100.00 – – – – – – –

8 100.00 (Default) – – – – – – –

9 Sub-total 603 1.07% 0.0 38.58% 2.1 465 77.12%Total (all portfolios) 32,940,589 0.07% 14.7 37.16% 4.5 1,477,007 4.48%


CCR5: Composition of collateral for CCR exposure

Millions of yen

Item No.

March 31, 2018

a b c d e f

Collateral used in derivative transactions Collateral used in

repo transactions

Fair value of collateral received Fair value of posted collateral Fair value of

collateral

received

Fair value of

posted

collateral Segregated Unsegregated Segregated Unsegregated

1 Cash (domestic currency) – 907,179 – 1,234,311 8,441,374 8,360,919

2 Cash (foreign currency) – 424,161 4,065 551,886 21,449,561 10,625,698

3 Domestic sovereign debt 180,640 159,636 171,323 503,955 7,315,813 14,208,223

4 Other sovereign debt 71,165 4,582 60,610 22,005 11,926,384 15,963,431

5 Government agency debt 20 977 12 18,473 1,601,760 2,770,029

6 Corporate bonds 2,071 20,158 – – 538,725 637,025

7 Equity – 61,448 – 55,417 1,357,836 1,345,357

8 Other collateral 508 30,276 317 4,569 622,062 661,757

9 Total 254,406 1,608,419 236,328 2,390,618 53,253,519 54,572,444

CCR6: Credit derivatives exposures

Millions of yen

Item No.

March 31, 2018

a b

Protection

bought

Protection

sold

Notional principal

1 Single-name credit default swaps 2,471,807 1,824,667

2 Index credit default swaps 290,433 326,617

3 Total return swaps 515,357 56

4 Credit options – –

5 Other credit derivatives – –

6 Total notional principal 3,277,597 2,151,342

Fair value

7 Positive fair value (asset) 5,442 37,283

8 Negative fair value (liability) 53,393 805


CCR8: Exposures to central counterparties Millions of yen

Item No.

March 31, 2018

a b

Exposures to

central

counterparties

(post-CRM)

RWA

1 Exposures to qualifying central counterparties (total) ／ 624,083

2 Exposures for trades at qualifying central counterparties (excluding initial margin) 4,191,119 25,815

3 (i) Derivative transactions (OTC) 3,321,010 19,250

4 (ii) Derivative transactions (exchange traded) 439,392 6,429

5 (iii) Repo transactions 430,716 134

6 (iv) Netting sets where cross-product netting has been approved – –

7 Segregated initial margin – ／

8 Non-segregated initial margin 486,308 5,157

9 Pre-funded default fund contributions 236,215 593,111

10 Unfunded default fund contributions – –

11 Exposures to non-qualifying central counterparties (total) ／ 78,588

12 Exposures for trades at non-qualifying central counterparties (excluding initial margin) 59,294 59,294

13 (i) Derivative transactions (OTC) 59,294 59,294

14 (ii) Derivative transactions (exchange traded) – –

15 (iii) Repo transactions – –

16 (iv) Netting sets where cross-product netting has been approved – –

17 Segregated initial margin – ／

18 Non-segregated initial margin 2,601 2,601

19 Pre-funded default fund contributions 1,335 16,692

20 Unfunded default fund contributions – –


SEC1: Securitization exposures by underlying asset type (securitization exposures subject to the calculation of the amount of credit risk-weighted assets only)

Millions of yen

Item No. Underlying asset type

March 31, 2018

a b c d e f

MUFG acting as originator MUFG acting as sponsor

Traditional

securitizations

(asset transfer

type)

Synthetic

securitizationsSub-total

Traditional

securitizations

(asset transfer

type)

Synthetic

securitizations Sub-total

1 Retail (total) 476,342 – 476,342 – – –

2 Residential mortgages 476,342 – 476,342 – – –

3 Credit card receivables – – – – – –

4 Other retail exposures – – – – – –

5 Re-securitization – – – – – –

6 Wholesale (total) – 112,561 112,561 – – –

7 Loans to corporates – 112,561 112,561 – – –

8

Commercial mortgage-

backed securities – – – – – –

9

Leasing receivables

and account

receivables – – – – – –

10 Other wholesale – – – – – –

11 Re-securitization – – – – – –

Millions of yen

Item No. Underlying asset type

March 31, 2018

g h i j k l

MUFG acting as originator / sponsor MUFG acting as investor

Traditional

securitizations

(asset transfer

type)

Synthetic


Traditional

securitizations

(asset transfer

type)

Synthetic


1 Retail (total) 2,859,364 – 2,859,364 2,288,399 – 2,288,399

2 Residential mortgages 41,686 – 41,686 1,574,243 – 1,574,243

3 Credit card receivables 980,327 – 980,327 122,003 – 122,003

4 Other retail exposures 1,837,351 – 1,837,351 592,051 – 592,051

5 Re-securitization – – – 101 – 101

6 Wholesale (total) 2,199,866 – 2,199,866 2,524,354 – 2,524,354

7 Loans to corporates – – – 2,222,199 – 2,222,199

8

Commercial mortgage-

backed securities – – – 92,806 – 92,806

9

Leasing receivables

and account

receivables 2,090,876 – 2,090,876 140,880 – 140,880

10 Other wholesale 108,989 – 108,989 67,127 – 67,127

11 Re-securitization – – – 1,341 – 1,341


SEC2: Securitization exposures by underlying asset type (securitization exposures subject to the calculation of the amount corresponding to market risk only)

Millions of yen

Item

No. Underlying asset type

March 31, 2018

a b c d e f g h i

MUFG acting as originator MUFG acting as sponsor MUFG acting as investor

Traditional

securitizations

(asset transfer

type)

Synthetic


Traditional

securitizations

(asset transfer

type)

Synthetic


Traditional

securitizations

(asset transfer

type)

Synthetic


1 Retail (total) – – – – – – 14,943 – 14,943

2 Residential mortgages – – – – – – – – –

3 Credit card receivables – – – – – – 14,537 – 14,537

4 Other retail exposures – – – – – – 405 – 405

5 Re-securitization – – – – – – – – –

6 Wholesale (total) – – – – – – 7,044 – 7,044

7 Loans to corporates – – – – – – 7,044 – 7,044

8 Commercial mortgage-

backed securities – – – – – – – – –

9 Leasing receivables

and account

receivables – – – – – – – – –

10 Other wholesale – – – – – – – – –

11 Re-securitization – – – – – – – – –


SEC3: Securitization exposures subject to the calculation of the amount of credit risk-weighted assets and related capital requirements (MUFG acting as originator or sponsor)

Millions of yen

Item No.

March 31, 2018 a b c d e f g h

Total Traditional securitizations (asset transfer type) (sub-total) Securitization Re-securitization

Retail underlying

Wholesale

Senior Non-senior

Amount of exposures (by risk weight category) 1 Securitization

exposures subject to a risk weight of 20% or less 4,864,080 4,757,519 4,757,519 2,765,090 1,992,428 – – –

2 Securitization exposures subject to a risk weight of more than 20% and 50% or less 217,219 211,219 211,219 122,893 88,326 – – –


4 Securitization exposures subject to a risk weight of more than 100% and less than 1250% 129,524 129,524 129,524 36,852 92,672 – – –

5 Securitization exposures subject to a risk weight of 1250% 58 58 58 58 – – – –

Amount of exposures (by calculation method) 6 Securitization

exposures subject to the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach 747,013 747,013 747,013 563,051 183,961 – – –

7 Securitization exposures subject to the Supervisory Formula Approach in the IRB Approach 4,900,855 4,788,294 4,788,294 2,772,596 2,015,697 – – –

8 Securitization exposures subject to the Standardized Approach 206 206 206 – 206 – – –

9 Securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification 58 58 58 58 – – – –

Amount of credit risk-weighted assets (by calculation method) 10 Credit RWA calculated

using the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach 104,285 104,285 104,285 76,650 27,634 – – –


Item No.



Retail underlying

Wholesale

Senior Non-senior

11 Credit RWA calculated using the Supervisory Formula Approach in the IRB Approach 913,821 905,142 905,142 521,896 383,245 – – –

12 Credit RWA calculated using the Standardized Approach 206 206 206 – 206 – – –

13 Credit RWA relating to securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification 731 731 731 731 – – – –

Capital requirements (by calculation method) 14 Capital requirements

relating to securitization exposures subject to the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach 8,843 8,843 8,843 6,499 2,343 – – –

15 Capital requirements relating to securitization exposures subject to the Supervisory Formula Approach in the IRB Approach 77,492 76,756 76,756 44,256 32,499 – – –

16 Capital requirements relating to securitization exposures subject to the Standardized Approach 16 16 16 – 16 – – –

17 Capital requirements relating to securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification 62 62 62 62 – – – –


Millions of yen

Item No.

March 31, 2018 i j k l m n o

Synthetic securitizations (sub-total) Securitization Re-securitization

Retail underlying

Wholesale

Senior Non-senior


exposures subject to a risk weight of 20% or less 106,561 106,561 – 106,561 – – –

2 Securitization exposures subject to a risk weight of more than 20% and 50% or less 6,000 6,000 – 6,000 – – –

3 Securitization exposures subject to a risk weight of more than 50% and 100% or less – – – – – – –

4 Securitization exposures subject to a risk weight of more than 100% and less than 1250% – – – – – – –

5 Securitization exposures subject to a risk weight of 1250% – – – – – – –


exposures subject to the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach – – – – – – –

7 Securitization exposures subject to the Supervisory Formula Approach in the IRB Approach 112,561 112,561 – 112,561 – – –

8 Securitization exposures subject to the Standardized Approach – – – – – – –

9 Securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification – – – – – – –


using the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach – – – – – – –


Item No.



Retail underlying

Wholesale

Senior Non-senior

11 Credit RWA calculated using the Supervisory Formula Approach in the IRB Approach 8,679 8,679 – 8,679 – – –

12 Credit RWA calculated using the Standardized Approach – – – – – – –

13 Credit RWA relating to securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification – – – – – – –


relating to securitization exposures subject to the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach – – – – – – –

15 Capital requirements relating to securitization exposures subject to the Supervisory Formula Approach in the IRB Approach 736 736 – 736 – – –

16 Capital requirements relating to securitization exposures subject to the Standardized Approach – – – – – – –

17 Capital requirements relating to securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification – – – – – – –


SEC4: Securitization exposures subject to the calculation of the amount of credit risk-weighted assets and related capital requirements (MUFG acting as investor)

Millions of yen

Item No.



Retail underlying

Wholesale

Senior Non-senior


exposures subject to a risk weight of 20% or less 4,683,632 4,683,632 4,683,632 2,250,294 2,433,337 – – –


3 Securitization exposures subject to a risk weight of more than 50% and 100% or less 61,309 61,309 59,867 4,667 55,200 1,442 101 1,341

4 Securitization exposures subject to a risk weight of more than 100% and less than 1250% 2,007 2,007 2,007 2,007 – – – –

5 Securitization exposures subject to a risk weight of 1250% 11,579 11,579 11,579 223 11,356 – – –


exposures subject to the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach 4,119,396 4,119,396 4,119,396 2,020,931 2,098,465 – – –

7 Securitization exposures subject to the Supervisory Formula Approach in the IRB Approach 51,350 51,350 51,350 – 51,350 – – –

8 Securitization exposures subject to the Standardized Approach 630,427 630,427 628,985 267,143 361,841 1,442 101 1,341

9 Securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification 11,579 11,579 11,579 223 11,356 – – –


using the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach 301,357 301,357 301,357 149,725 151,632 – – –


Item No.



Retail underlying

Wholesale

Senior Non-senior

11 Credit RWA calculated using the Supervisory Formula Approach in the IRB Approach 6,349 6,349 6,349 – 6,349 – – –

12 Credit RWA calculated using the Standardized Approach 182,238 182,238 180,795 64,267 116,528 1,442 101 1,341

13 Credit RWA relating to securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification 144,748 144,748 144,748 2,790 141,957 – – –


relating to securitization exposures subject to the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach 25,555 25,555 25,555 12,696 12,858 – – –

15 Capital requirements relating to securitization exposures subject to the Supervisory Formula Approach in the IRB Approach 538 538 538 – 538 – – –

16 Capital requirements relating to securitization exposures subject to the Standardized Approach 14,579 14,579 14,463 5,141 9,322 115 8 107

17 Capital requirements relating to securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification 12,088 12,088 12,088 224 11,864 – – –


Millions of yen

Item No.



Retail underlying

Wholesale

Senior Non-senior


exposures subject to a risk weight of 20% or less – – – – – – –



4 Securitization exposures subject to a risk weight of more than 100% and less than 1250% – – – – – – –

5 Securitization exposures subject to a risk weight of 1250% – – – – – – –


exposures subject to the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach – – – – – – –

7 Securitization exposures subject to the Supervisory Formula Approach in the IRB Approach – – – – – – –

8 Securitization exposures subject to the Standardized Approach – – – – – – –

9 Securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification – – – – – – –


using the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach – – – – – – –


Item No.



Retail underlying

Wholesale

Senior Non-senior

11 Credit RWA calculated using the Supervisory Formula Approach in the IRB Approach – – – – – – –

12 Credit RWA calculated using the Standardized Approach – – – – – – –

13 Credit RWA relating to securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification – – – – – – –


relating to securitization exposures subject to the Ratings-Based Approach or Internal Assessment Approach in the IRB Approach – – – – – – –

15 Capital requirements relating to securitization exposures subject to the Supervisory Formula Approach in the IRB Approach – – – – – – –

16 Capital requirements relating to securitization exposures subject to the Standardized Approach – – – – – – –

17 Capital requirements relating to securitization exposures subject to a risk weight of 1250% as stipulated in Paragraph 1 of Article 247 of the FSA Capital Adequacy Notification or Paragraph 1 of Article 225 of the FSA Holding Company Capital Adequacy Notification – – – – – – –


MR1: Market risk under the Standardized Approach Millions of yen

Item No.

March 31,

2018

RWA (Amount

obtained by

dividing amount

corresponding

to risk by 8%)

1 Interest rate risk (general and specific) 695,140

2 Equity risk (general and specific) 189,624

3 Foreign exchange risk 53,309

4 Commodity risk 255

Options transactions

5 Simplified approach –

6 Delta-plus method –

7 Scenario approach –

8 Specific risk relating to securitization exposures 6,480

9 Total 944,811 MR3: Values of Internal Models Approach (Market risk)

Millions of yen

Item No.

March 31,

2018

Value at Risk (holding period: 10 business days, one-sided confidence interval: 99%)

1 Maximum value 20,669

2 Average value 13,450

3 Minimum value 6,369

4 Period end 16,265

Stressed Value at Risk (holding period: 10 business days, one-sided confidence interval: 99%)

5 Maximum value 46,146

6 Average value 26,317

7 Minimum value 11,986

8 Period end 36,972

Incremental risk charge (one-sided confidence interval: 99.9%)

9 Maximum value –

10 Average value –

11 Minimum value –

12 Period end –

Comprehensive risk capital charge (one-sided confidence interval: 99.9%)

13 Maximum value –

14 Average value –

15 Minimum value –

16 Period end –

17 Floor (Revised Standardized Approach) – There are no applicable amounts for incremental risk or comprehensive risk. (Scope of application of Internal Models Approach) MUFG uses the Internal Models Approach for general market risk; however, for certain risk categories and at the following group companies, the Standardized Approach is applied: Consolidated subsidiaries of Mitsubishi UFJ Trust and Banking, overseas subsidiaries of ACOM, and Bank of Ayudhya Public Company Limited and its consolidated subsidiaries. In addition, the same Internal Models Approach is used for each entity in the MUFG Group.


(Overview of models) MUFG employs the historical simulation (hereinafter, “HS”) method as the main risk measurement method. For products and positions for which the HS method is not applied, risk amounts are measured using reasonable and conservative methods and then added to risk amounts calculated using the HS method. In addition, when the Internal Models Approach is used, the same models are used as the models for internal management and regulatory models. (Assumptions for calculation of Value at Risk) When calculating VaR, daily historical data is used. The observation period is 701 business days (approximately three years) and this data is not weighted. Method of converting the holding period: VaR for holding period of one business day is converted into holding period of 10 business days using the root t-factor method. Method of aggregating VaR: VaR is measured by taking into consideration the effect of diversification between risk factors. Price Revaluation Method: For interest rate swaps and other instruments with no optionality, the sensitivity method is used. For instruments with optionality, either the full valuation method or the matrix method is used. The matrix method is the method which calculates profit and loss history using nonlinear profit and loss distribution calculated in advance. Movements in risk factors are simulated using relative returns for foreign exchange rates, stock prices, commodity prices, and their volatilities. Absolute returns are used for other risk factors. In addition, recent variance in risk factors is reflected by multiplying the proportion of variance in profit and loss in the most recent period to variance in profit and loss over 701 business days (with a minimum value of 1) calculated by the VaR. (Assumptions for calculation of stressed Value at Risk) Method of selecting the stress period: Starting from April 2002, the largest VaR (determined using HS method) from an observation period of 234 business days is selected and measured with a position as of three months prior to the renewal of the stress period. This is based on the rationale that the period with the largest risk is considered the stress period. Price Revaluation Method: For interest rate swaps and other instruments with no optionality, the sensitivity method is used. For instruments with optionality, either the full valuation method or the matrix method is used. The matrix method is the method which calculates profit and loss history using nonlinear profit and loss distribution calculated in advance. Method of converting the holding period: VaR for holding period of one business day is converted into holding period of 10 business days using the root t-factor method. MR4: Results of backtesting using the Internal Models Approach

Billions of yen

There were no losses exceeding VaR throughout the most recent 250 business days.


IRRBB1: Interest rate risk in the banking book Millions of yen

Item No.

a b c d

⊿EVE ⊿NII

March 31,

2018

March 31,

2017

March 31,

2018

March 31,

2017

1 Upward parallel shift 1,719,850 – (127,032) –

2 Downward parallel shift (398,011) – 106,817 –

3 Steepener 1,120,978 – ／／

4 Flattener 10,189 – ／／

5 Short-term interest rate up 417,635 – ／／

6 Short-term interest rate down 225,314 – ／／

7 Maximum 1,719,850 – 106,817

e f

March 31, 2018 March 31, 2017

8 Tier 1 capital 16,251,749 –In accordance with FSA disclosure stipulations, positive figures in ⊿EVE column indicate a decline in the economic value of equity, and positive figures in ⊿NII column indicate a decline in net interest income. Subject of measurement Assets and liabilities with sensitivity to interest rates held by MUFG Bank and its consolidated subsidiaries (MUFG Bank, and local subsidiaries including MUFG Americas Holdings Corporation and Bank of Ayudhya) and Mitsubishi UFJ Trust and Banking and its subsidiaries (the parent and consolidated subsidiaries (those with more than a certain amount of interest rate risk)) are subject to measurement. ⊿EVE Interest rate risk in the banking book measured with ⊿EVE as of March 31, 2018 is largest for an upward parallel shift, of the six interest rate scenarios set forth in Basel III, with a maximum risk of ¥1,719.9 billion against Tier 1 capital of ¥16,251.7 billion. MUFG believes that it has secured sufficient capital to counter interest rate risk measured with ⊿EVE. (Assumptions for calculation of ⊿EVE) For liquid deposits, the amounts of “core deposit” are first considered by looking at each product’s statistical analysis based on deposit balance trend data, outlook for interest rates on deposits, business decisions, and other factors. The amounts of “core deposit” are categorized based on the respective deposit characteristics into maturity terms of up to 10 years, and interest rate risk is identified with an average maturity of 1.0 years (calculated based on internal managerial figures) for revisions to interest rates allocated to liquid deposits. The calculation assumptions and methods to determine the amount of core deposits and maturity term categorization are regularly reviewed. Regression models are used to adjust for loan prepayment rates and early termination rates for time deposits. At MUFG Bank and Mitsubishi UFJ Trust and Banking, ⊿EVE of each currency is aggregated based on the correlation between each different currency. Total ⊿EVE is a simple aggregation of ⊿EVE of each entity. Spread levels are included in discount rates and cash flows. The full valuation method is used for certain marketable instruments with optionality, and the sensitivity method for interest rate swaps and other products. ⊿NII In the two interest rate scenarios set forth in Basel III, interest rate risk in the banking book measured with ⊿NII as of March 31, 2018 is a ¥127.0 billion increase in net interest income for an upward parallel shift and a ¥106.8 billion decline in net interest income for a downward parallel shift. (Assumptions for calculation of ⊿NII) Deposits and loans with contract-based maturities are sometimes cancelled or repaid before their maturity dates. To measure interest rate risk for these deposits and loans, we reflect these early termination events mainly by applying early termination rates calculated based on a statistical analysis of historical repayment and cancellation data together with historical market interest rate data. This data is compiled without adjustment for correlation between interest rates in different currencies. In view of the nature of individual products, a tracking rate for the reference interest rate against the risk-free rate, an interest rate floor, spread (difference between contractual interest rate and reference interest rate), etc. are determined. In the event that reinvestment/refinancing assumptions are not consistent with actual investment/financing operations for interest rate sensitive positions held that are the same as the initial maturity, etc., this data will be measured using other appropriate assumptions.


COMPOSITION OF LEVERAGE RATIO DISCLOSURE Millions of yen, %

Corresponding line No. on

Basel III disclosure

template (Table 2)

Corresponding line No. on

Basel III disclosure

template (Table 1)

Item March 31, 2017 March 31, 2018

On-balance sheet exposures (1) 1 On-balance sheet exposures before deducting adjustment items 253,909,162 267,306,287

1a 1 Total assets reported in the consolidated balance sheet 303,297,433 306,937,4151b 2 The amount of assets of subsidiaries that are not included in

the scope of the leverage ratio on a consolidated basis – –

1c 7 The amount of assets of subsidiaries that are included in the scope of the leverage ratio on a consolidated basis (except those included in the total assets reported in the consolidated balance sheet)

– –

1d 3 The amount of assets that are deducted from the total assets reported in the consolidated balance sheet (except adjustment items) (49,388,271) (39,631,128)

2 7 The amount of adjustment items pertaining to Tier 1 capital (1,354,450) (1,742,601)3 Total on-balance sheet exposures (a) 252,554,711 265,563,685

Exposures related to derivatives transactions (2) 4 Replacement cost associated with derivatives transactions, etc. 4,918,152 4,355,7515 Add-on amount associated with derivatives transactions, etc. 6,307,511 6,557,225

The amount of receivables arising from providing cash

margin in relation to derivatives transactions, etc. 2,026,927 1,946,8996

The amount of receivables arising from providing cash margin, provided where deducted from the consolidated balance sheet pursuant to the operative accounting framework

92,292 27,428

7

The amount of deductions of receivables (out of those arising from providing cash variation margin)

(755,843) (804,389)

8

The amount of client-cleared trade exposures for which a bank or bank holding company acting as clearing member is not obliged to make any indemnification

／／

9

Adjusted effective notional amount of written credit derivatives 3,063,480 3,066,187

10

The amount of deductions from effective notional amount of written credit derivatives (2,331,501) (2,436,583)

11 4 Total exposures related to derivative transactions (b) 13,321,019 12,712,519

Exposures related to repo transactions (3) 12 The amount of assets related to repo transactions, etc. 22,098,142 18,447,30013 The amount of deductions from the assets above (line 12) (2,855,608) (3,134,594)14

The exposures for counterparty credit risk for repo

transactions, etc. 982,531 1,130,64315 The exposures for agent repo transactions ／／

16 5 Total exposures related to repo transactions, etc. (c) 20,225,065 16,443,349

Exposures related to off-balance sheet transactions (4) 17 Notional amount of off-balance sheet transactions 95,268,729 91,526,84318

The amount of adjustments for conversion in relation to off-

balance sheet transactions (64,888,816) (62,013,970)19 6 Total exposures related to off-balance sheet transactions (d) 30,379,912 29,512,872

Leverage ratio on a consolidated basis (5) 20 The amount of capital (Tier 1 capital) (e) 15,232,491 16,251,74921 8 Total exposures ((a) + (b) + (c) + (d)) (f) 316,480,708 324,232,42722 Leverage ratio on a consolidated basis ((e)/(f)) 4.81% 5.01%


INDICATORS FOR ASSESSING GLOBAL SYSTEMICALLY IMPORTANT BANKS (G-SIBs) Billions of yen

Item

No. Description March 31, 2017 March 31, 2018

1 Total exposures 317,835.1 325,975.0

(= a + b + c + d):

a. On-balance sheet assets (other than assets specifically identified below b., c. and contra-

account of guarantees) (Note 1)

b. Sum of counterparty exposure of derivatives contracts (Note 2), capped notional amount of

written credit derivatives and potential future exposure of derivatives contracts (Note 3)

c. Adjusted gross value of securities financing transactions (SFTs) and counterparty exposure of

SFTs (Note 4)

d. Gross notional amount of off-balance sheet items (other than derivatives contracts and SFTs)

(Notes 5, 6)

2 Intra-financial system assets 24,842.7 25,856.5

(= a + b + c + d):

a. Funds deposited with or lent to other financial institutions and undrawn committed lines

extended to other financial institutions

b. Holdings of securities issued by other financial institutions (Note 7)

c. Net positive current exposure of SFTs with other financial institutions (Note 8)

d. Over-the-counter (OTC) derivatives (Note 9) with other financial institutions that have a net

positive fair value (Note 8)

3 Intra-financial system liabilities 28,914.4 30,048.1

(= a + b + c):

a. Deposits due to, and loans and undrawn committed lines obtained from, other financial

institutions

b. Net negative current exposure of SFTs with other financial institutions (Note 10)

c. OTC derivatives (Note 9) with other financial institutions that have a net negative fair value

(Note 10)

4 Securities outstanding (Note 7) 34,304.4 33,278.6

5 Assets under custody 203,709.8 220,790.6

6 Notional amount of OTC derivatives (Note 9) 1,447,432.6 1,406,124.8

7 Held-for-trading (HFT) securities and available-for-sale (AFS) securities, excluding HFT and AFS

securities that meet the definition of Level 1 assets and Level 2 assets with haircuts (Note 11) 14,738.0 15,530.4

8 Level 3 assets (Note 12) 1,268.2 1,309.0

9 Cross-jurisdictional claims 84,491.8 88,637.7

10 Cross-jurisdictional liabilities 74,797.8 76,427.5

Item

No. Description FY2016 FY2017

11 Payments (settled through the BOJ-NET, the Japanese Banks’ Payment Clearing Network and

other similar settlement systems, excluding intragroup payments) 9,487,927.1 8,594,584.5

12 Underwritten transactions in debt and equity markets (Note 13) 14,951.2 15,196.7

Notes: 1. This refers to on-balance sheet assets other than assets specifically identified in the above Item 1, b., c. and contra-accounts of guarantees. 2. This refers to the sum of replacement costs calculated for derivatives contracts (any negative amounts are set to zero), add-ons calculated using the

Current Exposure Method for derivatives contracts, and the notional principal amounts related to credit derivatives that provide protection. 3. This refers to forward, swap, option and other derivatives contracts and long settlement transactions as stipulated in Article 57, Paragraph 1 of the FSA

Holding Company Capital Adequacy Notification. 4. This refers to the sum of cash receivables for SFTs and counterparty exposures calculated for each SFT (any negative amounts are set to zero). 5. Other than derivatives contracts and SFTs. 6. This refers to the sum of exposures related to the credit risk of counterparties, exposures related to eligible assets and securitization exposures. 7. Securities refer to secured debt securities, senior unsecured debt securities, subordinated debt securities, short-term bonds, negotiable deposits, and

common equities. 8. This refers only to non-negative amounts for which the effect of legally valid bilateral netting agreements can be determined. 9. OTC derivatives refer to derivatives that are not traded on a financial instruments market as defined in Article 2, Paragraph 14 of the Financial

Instruments and Exchange Act or a foreign financial instruments market as defined in Article 2, Paragraph 8, Item 3 (b) of the said Act. 10. This refers only to non-positive amounts for which the effect of legally valid bilateral netting agreements can be determined. 11. Level 1 and Level 2 assets with haircuts are defined in the Basel III Liquidity Coverage Ratio (LCR). 12. The amount is calculated in accordance with U.S. GAAP. 13. This refers to underwriting of securities defined in Article 2, Paragraph 8, Item 6 of the Financial Instruments and Exchange Act.


LIQUIDITY RISK Major liquid assets Billions of yen

March 31, 2017 March 31, 2018

MUFG MUFG

the Bankthe Trust

Bank

the

Securities

HD

the Bank the Trust

Bank

the

Securities

HD

Cash and deposits 63,525.9 49,105.1 13,335.2 1,620.3 74,713.7 57,688.7 15,359.5 2,148.0

Domestic securities 32,283.8 26,156.5 4,399.2 1,845.8 30,834.7 26,421.2 3,480.8 1,050.2

Japanese government bonds 26,501.2 21,064.8 4,161.6 1,382.6 24,187.1 20,417.0 3,282.0 595.5

Municipal bonds 1,143.7 1,012.2 0.1 131.4 1,713.8 1,538.0 0.0 175.8

Corporate bonds 4,638.9 4,079.5 237.6 331.8 4,933.9 4,466.3 198.8 278.9

Foreign bonds 19,129.6 11,978.5 6,918.3 235.6 18,569.2 12,116.0 6,337.3 118.7

Domestic equity securities 5,641.4 4,175.3 1,039.4 482.6 5,800.9 4,501.2 1,096.4 265.7

Foreign equity securities 182.8 183.8 0.1 0.0 334.5 244.6 91.1 0.0

Others 7,613.4 4,723.7 1,809.7 1,075.0 9,678.8 5,216.0 2,952.8 1,508.0

Subtotal 128,377.0 96,322.9 27,502.0 5,259.3 139,931.8 106,187.7 29,317.8 5,090.7

(Less) Assets pledged (29,851.7) (22,080.4) (6,202.0) (2,184.7) (32,956.2) (24,634.7) (7,439.8) (1,556.7)

Total 98,525.3 74,242.5 21,299.9 3,074.6 106,975.6 81,553.0 21,878.0 3,534.0

Notes: 1. Investment securities in the above table comprise securities available-for-sale, securities being-held-to-maturity and trading securities that have a quoted market value.

2. Assets pledged represent securities pledged as collateral primarily for borrowings, bills sold, foreign exchange transactions, and futures transactions. 3. Figures in the above table do not represent high-quality liquid assets under the Basel III regulatory regime. 4. Figures under MUFG reflect intergroup eliminations. Accordingly, these figures do not represent the sum of figures for the major operating entities. 5. The following abbreviations are used in the tables above:

MUFG = Mitsubishi UFJ Financial Group, Inc. the Bank = MUFG Bank, Ltd. the Trust Bank = Mitsubishi UFJ Trust and Banking Corporation the Securities HD = Mitsubishi UFJ Securities Holdings Co., Ltd.

Maturity profiles for major funding sources Maturity profiles of time deposits and negotiable deposits, borrowings and bonds

Billions of yen

March 31, 2017

Due in 1 year or less

Due over 1 year to

3 years

Due over 3 years to

5 years

Due over 5 years to

7 years

Due over 7 years to 10 years

Due over 10 years

Time deposits and negotiable deposits 52,546.1 8,218.9 1,294.6 72.5 128.4 5.1

Borrowings 2,783.1 3,759.3 9,061.4 569.6 336.7 461.2

Bonds 2,153.4 2,126.8 2,179.6 727.9 1,605.1 1,948.9

Total 57,482.6 14,105.0 12,535.6 1,370.0 2,070.1 2,415.1

Billions of yen

March 31, 2018

Due in 1 year or less

Due over 1 year to

3 years

Due over 3 years to

5 years

Due over 5 years to

7 years


Due over 10 years

Time deposits and negotiable deposits 51,645.5 7,874.7 1,182.4 87.5 112.1 5.8

Borrowings 3,257.2 9,773.8 2,103.8 407.4 380.6 476.7

Bonds 2,084.9 2,217.7 2,062.7 710.5 2,210.2 2,267.6

Total 56,987.6 19,866.2 5,348.9 1,205.3 2,702.9 2,750.1

Notes: 1. The above tables show the maturity profiles of funding sources (duration to maturity or repayment) of customer deposits (time and negotiable), borrowings, and bonds.

2. Bonds include short-term bonds and subordinated bonds. 3. Bonds and borrowings with no stated duration to maturity or repayment are included in “Due over 10 years” in the above tables.


Maturity information on major asset classes Millions of yen

March 31, 2017

Due in

1 year or less

Due over 1 year to

3 years

Due over 3 years to

5 years

Due over 5 years to

7 years


Due over 10 years

Investment securities (Notes 1, 2) 16,544,547 7,618,205 5,853,359 3,068,433 7,073,051 10,329,080

Held-to-maturity securities 485 83,493 49,944 412,635 1,692,886 1,352,144

Japanese government bonds – – – 199,742 901,212 –

Municipal bonds – – – – – –

Corporate bonds – – – – – –

Foreign bonds 485 72,607 1,224 94,568 14,257 1,029,177

Others – 10,886 48,720 118,324 777,416 322,966

Available-for-sale securities with

predetermined maturity 16,544,061 7,534,712 5,803,414 2,655,797 5,380,164 8,976,936

Japanese government bonds 13,915,176 3,039,982 3,233,190 674,494 1,022,910 2,124,856

Municipal bonds 42,038 53,363 62,400 20,816 830,966 290

Corporate bonds 155,997 336,642 407,317 241,112 538,631 988,853

Foreign bonds 2,340,858 3,604,355 1,919,628 1,648,728 2,735,702 5,657,211

Others 89,991 500,369 180,876 70,645 251,952 205,725

Loans (Notes 1, 3) 42,764,441 19,957,317 15,863,734 6,862,120 6,465,520 16,295,427

Total 59,308,988 27,575,523 21,717,093 9,930,553 13,538,571 26,624,508

Millions of yen

March 31, 2018

Due in

1 year or less

Due over 1 year to

3 years

Due over 3 years to

5 years

Due over 5 years to

7 years


Due over 10 years

Investment securities (Notes 1, 2) 13,877,896 9,658,848 4,589,474 5,444,061 6,623,160 10,496,709

Held-to-maturity securities 846 99,729 114,070 1,166,477 434,479 1,771,300

Japanese government bonds – – – 1,100,828 – –

Municipal bonds – – – – – –

Corporate bonds – – – – – –

Foreign bonds 846 65,368 91,270 1,364 44,422 917,611

Others – 34,360 22,799 64,284 390,057 853,689

Available-for-sale securities with

predetermined maturity 13,877,049 9,559,119 4,475,404 4,277,584 6,188,681 8,725,408

Japanese government bonds 10,876,130 6,145,433 1,471,263 1,743,729 784,868 1,429,117

Municipal bonds 45,004 17,677 181,404 107,062 1,185,064 180

Corporate bonds 143,457 322,511 498,318 347,268 636,345 1,045,791

Foreign bonds 2,604,002 2,639,207 1,583,867 1,960,988 3,316,540 5,320,456

Others 208,455 434,289 740,550 118,535 265,863 929,863

Loans (Notes 1, 3) 43,184,650 19,310,322 14,597,195 6,733,180 6,205,886 17,383,038

Total 57,062,547 28,969,170 19,186,670 12,177,241 12,829,047 27,879,747

Notes: 1. Figures shown above are consistent with those set forth in our consolidated balance sheet. 2. Investment securities include trust beneficiary rights in monetary claims bought. 3. Loans exclude the amounts of ¥796,670 million and ¥676,720 million as of March 31, 2017 and March 31, 2018, respectively, for loans that are not

expected to be recovered such as loans extended to bankrupt, virtually bankrupt, and likely to be bankrupt borrowers.


Pledged Assets Millions of yen

March 31, 2017 March 31, 2018

Cash and due from banks 4,488 2,657

Trading assets 245,382 200,189

Securities 3,962,434 1,666,189

Loans and bills discounted 10,536,127 12,803,741

Total 14,748,433 14,672,777

Liabilities correspond to the pledged assets above

Deposits 797,577 593,601

Call money and bills sold – 4,930

Trading liabilities 17,224 18,473

Borrowed money 13,484,211 13,268,889

Bonds payable 11,474 6,229

Other liabilities 11,009 2,804

Acceptances and guarantees 12,342 10,843 In addition to the above, the following assets were pledged for foreign exchange transactions or futures transactions.

Millions of yen

March 31, 2017 March 31, 2018

Cash and due from banks 4,319 2,605

Monetary claims bought 252,692 –

Trading assets 135,299 550,797

Securities 7,660,643 11,853,325

Loans and bills discounted 6,863,728 8,007,507 Assets sold under repurchase agreements or loaned under securities lending transactions backed by cash pledges are as follows.

Millions of yen

March 31, 2017 March 31, 2018

Trading assets 2,731,690 2,384,656

Securities 15,107,468 16,295,738

Total 17,839,158 18,680,394

Corresponding payables

Payables under repurchase agreements 7,539,867 9,079,859

Payables under securities lending transactions 4,339,644 6,688,298


CHANGES IN THE CONSOLIDATED LIQUIDITY COVERAGE RATIO FROM THE PREVIOUS QUARTER The consolidated liquidity coverage ratio has remained stable over the past two years.

Millions of yen, %, Case

Item FY2017 Q4 FY2017 Q3

High-Quality Liquid Assets (1) ／／／／

1 Total high-quality liquid assets (HQLA) 97,944,121 99,102,340

Cash Outflows (2) Total

unweighted

value

Total

weighted

value

Total

unweighted

value

Total

weighted

value

2 Cash outflows related to unsecured retail funding 88,304,697 7,559,326 86,960,635 7,440,562

3 Stable deposits 18,423,457 559,244 18,206,623 552,578

4 Less stable deposits 69,881,240 7,000,082 68,751,727 6,887,984

5 Cash outflows related to unsecured wholesale funding 96,178,354 56,425,247 95,152,107 56,099,730

6 Qualifying operational deposits 110,359 27,564 104,854 26,213

7 Cash outflows related to unsecured wholesale funding

other than qualifying operational deposits and debt

securities 90,643,183 50,972,870 90,149,326 51,175,589

8 Debt securities 5,424,813 5,424,813 4,897,928 4,897,928

9 Cash outflows related to secured funding, etc. ／ 1,903,467 ／ 1,900,527

10 Cash outflows related to derivative transactions, etc., funding

programs, credit and liquidity facilities 43,641,510 12,701,012 44,075,401 12,718,215

11 Cash outflows related to derivative transactions, etc. 3,518,982 3,518,982 3,229,635 3,229,635

12 Cash outflows related to funding programs 8,786 8,786 9,154 9,154

13 Cash outflows related to credit and liquidity facilities 40,113,742 9,173,244 40,836,611 9,479,425

14 Cash outflows related to contractual funding obligations, etc. 5,686,451 3,736,271 6,049,606 3,886,821

15 Cash outflows related to contingencies 69,816,646 826,072 71,099,535 835,673

16 Total cash outflows ／ 83,151,394 ／ 82,881,528

Cash Inflows (3) Total

unweighted

value

Total

weighted

value

Total

unweighted

value

Total

weighted

value

17 Cash inflows related to secured lending, etc. 11,737,343 1,502,804 12,602,557 1,489,213

18 Cash inflows related to collection of loans, etc. 17,272,319 11,913,422 16,619,495 11,463,085

19 Other cash inflows 6,457,215 2,106,108 6,570,214 1,918,093

20 Total cash inflows 35,466,876 15,522,334 35,792,266 14,870,391

Consolidated Liquidity Coverage Ratio (4) ／／／／

21 Total HQLA allowed to be included in the calculation ／ 97,944,121 ／ 99,102,340

22 Net cash outflows ／ 67,629,059 ／ 68,011,137

23 Consolidated liquidity coverage ratio (LCR) ／ 144.8 ／ 145.7

24 The number of data used to calculate the average value 59 62Note: The consolidated liquidity coverage ratio (LCR) is calculated by using the daily average value from the fourth quarter of the fiscal year ended March 31, 2017.


EVALUATION OF THE CONSOLIDATED LIQUIDITY COVERAGE RATIO LEVEL MUFG’s consolidated liquidity coverage ratio is well above the minimum requirement.

Minimum requirement for the consolidated liquidity coverage ratio

%

2016 2017 2018 After 2019

70.0 80.0 90.0 100.0

MUFG does not expect the outlook for the consolidated liquidity coverage ratio to diverge significantly from the current level. The actual value of the consolidated liquidity coverage ratio does not differ significantly from the initial projection.

COMPOSITION OF THE TOTAL HQLA ALLOWED TO BE INCLUDED IN THE CALCULATION There are no significant changes in the location and composition of the HQLA allowed to be included in the calculation in terms of currency, asset type and other attributes. There are no significant currency imbalances between the total HQLA allowed to be included in the calculation and the net cash outflows in major currencies (currencies for which total liabilities denominated in any given currency account for 5% or more of MUFG’s total liabilities on a consolidated basis).

OTHER MATTERS CONCERNING THE CONSOLIDATED LIQUIDITY COVERAGE RATIO 1. MUFG has adopted the Special Provisions Pertaining to Qualifying Operational Deposits under Article 28 of the FSA

Holding Company Liquidity Coverage Ratio Notification. The scope of application of the Special Provisions Pertaining to Qualifying Operational Deposits and the Valuation Method for Qualifying Operational Deposits are as follows. a. Scope of application of the Special Provisions Pertaining to Qualifying Operational Deposits

MUFG has applied the Special Provisions Pertaining to Qualifying Operational Deposits to certain borrowings from the trust assets (trust accounts) of pension funds and other entities, as part of its custody services.

b. Valuation Method for Qualifying Operational Deposits MUFG periodically conducts a valuation of qualifying operational deposits assuming a certain amount of deposits will remain in trust accounts.

2. MUFG has not applied “the minimum required amount of additional pledged assets upon a change in fair value based on the Scenario Approach” on a consolidated basis, under Article 37 of the FSA Holding Company Liquidity Coverage Ratio Notification.

3. MUFG has included cash outflows related to small consolidated subsidiaries in other contractual cash outflows under Article 59 of the FSA Holding Company Liquidity Coverage Ratio Notification.

4. When calculating the consolidated liquidity coverage ratio (daily average value), daily data is not used for the following items, etc. a. “Cash outflows related to small consolidated subsidiaries” of MUFG

Monthly or quarterly data is used. b. High-quality liquid assets, cash outflows, and cash inflows for some overseas offices

Monthly data is used.


NET OPERATING PROFITS/RISK-WEIGHTED ASSETS BY BUSINESS GROUP Billions of yen

Retail

Banking

Corporate

Banking

Global

Banking

Asset

Management

& Investor

Service

Global

Markets

MUFG

consolidated

total

Net operating profits (Note 1) 266.1 392.8 422.3 69.8 254.5 1,224.1

Change from fiscal 2016 40.4 (28.7) (59.9) 8.9 (115.2) (171.7)

Risk-weighted assets (Note 2) 10,038.2 27,507.5 40,101.3 1,425.9 12,367.0 113,463.6

Change from March 31, 2017 (277.2) (2,412.5) (3,383.5) 210.2 642.1 (522.7)

Credit risks 8,606.0 26,574.5 37,234.2 755.8 9,694.2 89,823.1

Change from March 31, 2017 (325.3) (2,297.7) (3,551.5) 145.2 998.4 (7,083.2)

Market risks 14.9 95.6 8.2 189.2 2,055.3 2,714.5

Change from March 31, 2017 (2.0) 3.5 (8.2) 21.0 (319.6) 578.7

Operational risks 1,417.3 837.3 2,858.8 480.7 617.4 7,236.0

Change from March 31, 2017 50.0 (118.3) 176.1 43.9 (36.5) 501.4

Notes: 1. Managerial figures based on settlement rates. The consolidated total for MUFG includes figures from head office and others. Corporate Banking excludes overseas Japanese corporate business.

2. Risk-weighted assets by business group are managerial figures that are broken down financial accounting figures.


[Reference Information] CAPITAL ADEQUACY Capital requirements for credit risk Billions of yen

March 31, 2017

Capital requirements for credit risk (excluding equity exposures under the IRB Approach

and exposures relating to funds (Note 3)) 6,715.3

IRB Approach (excluding securitization exposures) 4,598.6

Corporate exposures (excluding specialized lending exposures subject to supervisory slotting criteria) 3,427.9

Corporate exposures (specialized lending exposures subject to supervisory slotting criteria) 31.4

Sovereign exposures 83.6

Bank exposures 171.4

Residential mortgage exposures 374.7

Qualifying revolving retail exposures 183.7

Other retail exposures 136.4

Exposures related to unsettled transactions 1.1

Exposures for other assets 188.2

Standardized Approach (excluding securitization exposures) 1,949.2

Securitization exposures (Note 4) 167.4

Portfolios under the IRB Approach 149.3

Portfolios under the Standardized Approach 18.1

Capital requirements for credit risk of equity exposures under the IRB Approach 1,172.0

Market-Based Approach (Simple Risk Weight Method) (Note 5) 165.3

Market-Based Approach (Internal Models Method) (Note 5) –

PD/LGD Approach (Note 5) 790.5

Exposures related to specific items related to components not included in survey items 216.1

Capital requirements for credit risk of exposures relating to funds 236.9

Required capital for CVA risk 497.0

Required capital for credit risk associated with exposures relating to central counterparty clearing houses 57.1

Total 8,678.5

Notes: 1. Credit risk-weighted assets are calculated using the AIRB Approach. However, as an exemption to this approach, the Standardized Approach is used for calculations with credit risk-weighted assets at some subsidiaries in cases where the figures for such subsidiaries are expected to be minor compared with the total. The IRB Approach is planned to be applied by staggered rollout for the three companies MUFG Americas Holdings Corporation, Bank of Ayudhya Public Company Limited, and MUFG Bank (China), Ltd. Since the Basel Committee on Banking Supervision is currently examining comprehensive revisions to regulations on capital adequacy ratio, the timing at which these applications shall take effect shall be decided in line with the direction of new regulations.

2. Capital requirements for portfolios under the IRB Approach are calculated as “credit risk-weighted asset amount x 8% + expected losses.” In this calculation, the credit risk-weighted asset amount is multiplied by the scaling factor of 1.06. Capital requirements for portfolios under the Standardized Approach are calculated as “credit risk-weighted asset amount x 8%.”

3. Exposures to calculate the amount of credit risk-weighted assets as stipulated in Article 145 of the FSA Holding Company Capital Adequacy Notification. 4. Including amounts equivalent to the increase in equity capital resulting from a securitization exposure, as regulatory adjustments applied to equity capital. 5. Exposures to calculate the amount of credit risk-weighted assets as stipulated in Article 144 of the FSA Holding Company Capital Adequacy Notification.


Capital requirements for market risk Billions of yen

March 31, 2017

Standardized Approach 85.7

Interest rate risk 52.4

Equity position risk 29.0

Foreign exchange risk 4.2

Commodity risk 0.0

Options transactions –

Internal Models Approach 85.1

Total 170.8

Note: As for market risk, the Internal Models Approach is mainly adopted to calculate general market risk (in some cases the Standardized Approach is adopted) and the Standardized Approach is adopted to calculate specific risk. Stressed value-at-risk is included in the market risk equivalent amount based on the Internal Models Approach.

Capital requirements for operational risk Billions of yen

March 31, 2017

Advanced Measurement Approach 364.3

Standardized Approach –

Basic Indicator Approach 174.4

Total 538.7

Note: Operational risk is calculated using the Advanced Measurement Approach and Basic Indicator Approach.

Consolidated total capital requirements Billions of yen

March 31, 2017

Consolidated total capital requirements 9,118.9

8% of credit risk-weighted assets 7,752.5

8% of the amount included in risk-weighted assets using transitional arrangements 14.9

Capital requirements for market risk 170.8

Capital requirements for operational risk 538.7

8% of the amount by which the capital floor value, which is obtained by multiplying the

risk-weighted asset amount as calculated according to the Former Notification (Note) by

a predetermined adjustment factor, exceeds the risk-weighted asset amount as

calculated according to the FSA Holding Company Capital Adequacy Notification 656.7

Note: Hereafter, this refers to Ministry of Finance (MOF) Notification No. 62, 1998, which was based on the provisions of Article 52-25 of the Banking Law of Japan.


CREDIT RISK Credit exposure (By customer segment) Trillions of yen

March 31, 2017

the Bank, the Trust Bank, the Bank (US) 162.2

Corporate (Domestic) 52.0

Corporate (Foreign) 62.1

Americas 33.5

Europe 14.3

Asia 14.3

Others 48.1

For individuals 21.3

SL, securitization, etc. 22.6

Others 4.1

Other subsidiaries 9.6

MUFG consolidated total 171.8

(By account) Trillions of yen

March 31, 2017

Loans 102.4

Acceptances and guarantees 5.4

Foreign exchange 2.3

Revolving facilities (unused) 30.9

Market exposure 6.5

Private bonds 1.4

SL, securitization, etc. 22.6

Others 0.2

MUFG consolidated total 171.8

Notes: 1. The following abbreviations are used in the tables above: MUFG = Mitsubishi UFJ Financial Group, Inc. the Bank = MUFG Bank, Ltd. the Trust Bank = Mitsubishi UFJ Trust and Banking Corporation the Bank (US) = MUFG Union Bank, N.A. SL = Specialized Lending

2. Figures are presented on a managerial basis. Accordingly, they do not correspond to financial figures reported in the consolidated financial statements. 3. In the breakdown by customer segment, exposures extended to corporate customers by MUFG Union Bank, N.A. are included in “Americas” under

“Corporate (Foreign).” 4. In the breakdown by account, exposures at Mitsubishi UFJ Securities Holdings Co., Ltd. are included in “Market exposure.”


Status of credit risk-weighted assets Billions of yen

March 31, 2017

EAD Weighted

average PDWeighted

average LGD Credit RWAWeighted

average RW

Corresponding external credit rating (Note 3)

Internal Ratings Based Approach 265,714.9 – – 63,512.1 23.9%

Corporate and others 229,376.4 – – 38,039.1 16.6%

Corporate exposures 95,738.0 2.3% 32.9% 34,650.4 36.2% (Excluding specialized lending

exposures subject to supervisory slotting criteria)

Borrower rating 1–3 46,425.3 0.1% 35.9% 11,243.4 24.2% AAA/Aaa~ BBB-/Baa3

Borrower rating 4–9 44,919.3 0.6% 30.2% 19,475.5 43.4% BB+/Ba1~ B-/B3

Borrower rating 10–11 2,804.4 9.6% 25.8% 3,229.8 115.2% CCC+/Caa1~DefaultBorrower rating 12–15 1,588.8 100.0% 34.5% 701.6 44.2%

Sovereign exposures 124,981.4 0.0% 37.8% 1,009.9 0.8%

Borrower rating 1–3 124,275.4 0.0% 37.8% 713.9 0.6% AAA/Aaa~ BBB-/Baa3

Borrower rating 4–9 618.5 0.6% 31.7% 255.9 41.4% BB+/Ba1~ B-/B3

Borrower rating 10–11 87.5 10.5% 10.8% 40.0 45.7% CCC+/Caa1~DefaultBorrower rating 12–15 – 0.0% 0.0% – 0.0%

Bank exposures 8,371.1 0.2% 32.0% 2,048.3 24.5%

Borrower rating 1–3 6,069.1 0.1% 31.8% 1,327.7 21.9% AAA/Aaa~ BBB-/Baa3

Borrower rating 4–9 2,255.6 0.2% 32.3% 647.2 28.7% BB+/Ba1~ B-/B3

Borrower rating 10–11 42.2 12.2% 33.2% 71.4 169.0% CCC+/Caa1~DefaultBorrower rating 12–15 4.1 100.0% 68.7% 1.9 47.4%

Corporate exposures 285.8 – – 330.3 115.6% (Specialized lending

exposures subject to supervisory slotting criteria)

Retail 21,038.7 2.7% 42.6% 5,518.9 26.2%

Residential mortgage 13,706.0 1.9% 33.1% 3,607.4 26.3%

Qualifying revolving retail 4,853.4 2.2% 77.8% 1,187.6 24.5%

Other retail 2,479.2 7.5% 26.7% 723.8 29.2%

Equity 7,775.2 – – 11,949.0 153.7% Equity exposures under the

PD/LGD Approach 7,261.8 1.3% 90.0% 9,881.9 136.1% Equity exposures subject to

the Market-Based Approach (simple risk weight method) 513.4 – – 2,067.1 402.6%

Exposures relating to funds 2,768.4 – – 2,913.8 105.3%

Others 4,756.1 – – 5,091.1 107.0%

Standardized Approach 40,146.2 – – 24,365.1 60.7% Transitioned to the IRB Approach 25,468.0 – – 17,614.5 69.2%

Standardized Approach 14,678.1 – – 6,750.6 46.0%

Securitization exposures 10,267.9 – – 1,914.6 18.6%

CVA risk equivalent amount 7,101.6 – – 6,213.0 87.5% Exposures relating to central counterparty clearing houses 4,821.8 – – 714.6 14.8%

Total 328,052.7 – – 96,719.6 29.5%

Notes: 1. Figures for credit risk-weighted assets (RWA) are presented on a Basel III full implementation basis. Credit RWA under the transitional basis was ¥96,906.3 billion as of March 31, 2017.

2. The validity of risk parameters such as probability of default, or PD, loss given default, or LGD, or Exposure at Default, or EAD, are verified regularly (at least once a year) through back testing or comparative analysis with external sources.

3. The corresponding external credit ratings are presented in terms of rating symbols from S&P and Moody’s.


Movement analysis of credit risk-weighted assets Trillions of yen

Credit risk-weighted assets as of March 31, 2016 95.1

Foreign exchange movements (1.1)

Credit balance movements +0.7

Stock price movements +1.0

Parameter updates (0.6)

Borrower ratings movements (0.3)

Changes in CVA risk +0.7

Others +1.2

Credit risk-weighted assets as of March 31, 2017 96.7

Credit risk exposures and defaulted/past due for three months or more exposures (By approach) Billions of yen

March 31, 2017


Loans, etc.

(Note 2)

Debt

securities

OTC

derivatives Total

IRB Approach 146,047.3 41,883.0 4,839.3 266,049.7

Standardized Approach 32,860.4 4,411.8 3,078.5 51,697.3

Total 178,907.7 46,294.8 7,917.9 317,747.1

Notes: 1. Figures are without taking into account the effects of credit risk mitigation techniques. Furthermore, figures do not include any securitization exposures, exposures relating to funds, or exposures relating to central counterparty clearing houses.

2. Loans, etc., include loans, commitments and other non-derivative off-balance sheet exposures. 3. Regarding on-balance sheet exposures to loans and debt securities, etc., and off-balance sheet exposures to commitments, etc., no significant disparity

was observed between the period-end position and the average risk positions during this period.

(By geographic area) Billions of yen

March 31, 2017

Credit risk exposures (Note 1) Defaulted/past due

for three months or

more exposures

(Note 3)

Loans, etc.

(Note 2)

Debt

securities

OTC

derivatives Total

Domestic 117,230.5 37,471.7 6,108.6 230,773.5 1,936.6

Foreign 61,677.1 8,823.1 1,809.2 86,973.5 301.0

Total 178,907.7 46,294.8 7,917.9 317,747.1 2,237.6


2. Loans, etc., include loans, commitments and other non-derivative off-balance sheet exposures. 3. Figures for exposures past due for three months or more or defaulted exposures correspond to exposures as of the period-end where the amount of the

credit risk-weighted asset is computed assuming default in cases subject to the IRB Approach, and exposures where the amount of the credit risk-weighted asset is computed assuming past-due loan exposure in cases subject to the Standardized Approach. Figures do not include any securitization exposures, exposures relating to funds, or exposures relating to central counterparty clearing houses.

4. Geographic area refers to the locations of MUFG or our subsidiaries or the head and branch offices of our subsidiaries.


(By type of industry) Billions of yen

March 31, 2017

Credit risk exposures (Note 1) Defaulted/past due

for three months or

more exposures

(Note 3)

Loans, etc.

(Note 2)

Debt

securities

OTC

derivatives Total

Manufacturing 23,295.3 751.3 726.9 28,512.7 922.4

Wholesale and retail 12,934.5 219.6 286.7 14,998.5 257.7

Construction 1,722.4 10.7 14.4 1,925.9 25.5

Finance and insurance 30,449.0 1,239.5 3,824.6 50,506.0 13.6

Real estate 12,844.5 208.9 161.5 13,355.4 47.8

Services 8,575.8 192.5 147.9 9,196.4 79.1

Transport 5,546.1 203.5 292.3 6,587.1 68.0

Individuals 23,144.0 – 1.1 23,989.3 394.2

Governments and local authorities 26,234.3 38,939.5 43.7 110,104.5 –

Others 34,161.2 4,529.0 2,418.4 58,570.8 428.9

Total 178,907.7 46,294.8 7,917.9 317,747.1 2,237.6


2. Loans, etc., include loans, commitments and other non-derivative off-balance sheet exposures. 3. Figures for exposures past due for three months or more or defaulted exposures correspond to exposures as of the period-end where the amount of the

credit risk-weighted asset is computed assuming default in cases subject to the IRB Approach, and exposures where the amount of the credit risk-weighted asset is computed assuming past-due loan exposure in cases subject to the Standardized Approach. Figures do not include any securitization exposures, exposures relating to funds, or exposures relating to central counterparty clearing houses.

4. Exposures held by certain subsidiaries whose credit risk-weighted assets are considered minor relative to the overall total are included in the “Others” category.

(By residual contractual maturity) Billions of yen

March 31, 2017


Loans, etc.

(Note 2)

Debt

securities

OTC

derivatives Total

Due in 1 year or less 43,721.8 15,986.8 970.1 79,987.5

Due over 1 year to 3 years 24,438.2 6,517.9 1,541.7 32,675.0

Due over 3 years to 5 years 20,959.3 5,104.4 1,181.5 27,432.3

Due over 5 years to 7 years 6,920.8 2,358.0 258.9 9,544.6

Due over 7 years 18,666.3 12,047.7 802.1 31,561.9

Others (Note 3) 64,200.9 4,279.7 3,163.3 136,545.5

Total 178,907.7 46,294.8 7,917.9 317,747.1


2. Loans, etc., include loans, commitments and other non-derivative off-balance sheet exposures. 3. The “Others” category includes exposures of indeterminate maturity, etc. Exposures held by certain subsidiaries whose credit risk-weighted assets are

considered minor relative to the overall total are included in the “Others” category.


General allowance for credit losses, specific allowance for credit losses and allowance for loans to specific foreign borrowers

(Balances by geographic area) Millions of yen

March 31, 2017

Change from

March 31, 2016

General allowance for credit losses 743,895 172,206

Specific allowance for credit losses 213,065 (272,512)

Domestic 111,326 (235,383)

Foreign 101,739 (37,129)

Allowance for loans to specific foreign borrowers 388 69

Total 957,350 (100,235)

(Balances by type of industry) Millions of yen

March 31, 2017

Change from

March 31, 2016

General allowance for credit losses 743,895 172,206

Specific allowance for credit losses 213,065 (272,512)

Manufacturing 23,914 (233,903)

Wholesale and retail 27,166 (24,765)

Construction 2,010 (1,912)

Finance and insurance 4,124 (4,892)

Real estate 6,114 (2,683)

Services 6,752 (5,170)

Transport 11,483 (7,554)

Individuals 14,916 (1,416)

Governments and local authorities – (7)

Others 116,582 9,792

Allowance for loans to specific foreign borrowers 388 69

Total 957,350 (100,235)

Notes: 1. Although the specific allowance for credit losses does not include the allowance relating to any securitization exposures and exposures relating to funds, the allowance relating to these exposures is not excluded from both the general allowance for credit losses and the allowance for loans to specific foreign borrowers, owing to the fact that MUFG does not manage provisioning with respect to each asset class based on Basel III.

2. Industry classifications apply primarily to allowances related to exposures held by MUFG Bank, Ltd. and Mitsubishi UFJ Trust and Banking Corporation (both on a non-consolidated basis). The bulk of provisions relating to exposures held by other subsidiaries is included in the “Others” category.

Loan charge-offs


FY2016

Manufacturing 14,092

Wholesale and retail 11,276

Construction 350

Finance and insurance (4)

Real estate 527

Services 2,758

Transport 1,418

Individuals 14,073

Governments and local authorities –

Others 41,021

Total 85,512

Note: Figures do not include loan charge-offs related to securitization exposures or exposures relating to funds.


Balances by risk weight category of exposures under the Standardized Approach Billions of yen

March 31, 2017

Balances

Balances

for which risk weights

are determined

by external rating

Risk weight: 0% 7,494.0 3,459.9

Risk weight: 10% 93.3 –

Risk weight: 20% 5,848.1 5,702.2

Risk weight: 35% 3,692.1 –

Risk weight: 50% 574.8 565.5

Risk weight: 75% 3,518.2 –

Risk weight: 100% 18,840.6 441.6

Risk weight: 150% 84.6 0.1

Risk weight: 625% 0.0 –

Risk weight: 937.5% 0.0 –

Risk weight: 1,250% 0.0 –

Others (Note 3) 0.0 –

Total 40,146.2 10,169.4

Notes: 1. Figures are taking into account the effects of credit risk mitigation techniques. 2. Figures do not contain any securitization exposures. 3. “Others” includes investment funds leveraged by debt loans, etc., for which the weighted average risk weight was 20% as of March 31, 2017.

Exposures subject to the IRB Approach: specialized lending exposures subject to supervisory slotting criteria and equity exposures subject to the Market-Based Approach (simple risk weight method) Billions of yen

March 31, 2017

Specialized lending exposures subject to supervisory slotting criteria 285.8

Risk weight: 50% 16.6








Risk weight: 0% –

Equity exposures subject to the Market-Based Approach (simple risk weight method) 513.4




Exposures subject to the IRB Approach: corporate exposures Billions of yen

March 31, 2017

EAD

On-balance

sheet EAD

Off-balance

sheet EAD

Credit rating

Amount of

undrawn

commitments

Weighted

average factor

on undrawn

commitments

Other off-

balance sheet

EAD

Borrower ratings 1–3 46,425.3 30,622.7 15,802.5 26,129.3 43.98% 4,311.6


Borrower ratings 10–11 2,804.4 2,326.0 478.3 470.5 50.95% 238.6


March 31, 2017

Credit rating

Weighted

average PD

Weighted

average LGD

Weighted

average EL

default

Weighted

average RW

Borrower ratings 1–3 0.10% 35.89% – 24.22%



Borrower ratings 12–15 100.00% 34.55% 31.29% 44.16%

Notes: 1. Figures exclude specialized lending exposures subject to supervisory slotting criteria and any exposures relating to funds. 2. Weighted average PD and weighted average LGD represent weighted average figures based on EAD. 3. RW stands for risk weight. Risk weight is calculated by dividing the amount of credit risk-weighted assets by EAD, and does not include any expected

losses. Note that credit risk-weighted asset amounts are multiplied by 1.06.

Exposures subject to the IRB Approach: sovereign exposures Billions of yen

March 31, 2017

EAD

On-balance

sheet EAD

Off-balance

sheet EAD

Credit rating

Amount of

undrawn

commitments

Weighted

average factor

on undrawn

commitments

Other off-

balance sheet

EAD


Borrower ratings 4–9 618.5 541.8 76.6 111.3 56.15% 14.1

Borrower ratings 10–11 87.5 80.7 6.7 10.7 56.15% 0.7

Borrower ratings 12–15 – – – – – –

March 31, 2017

Credit rating

Weighted

average PD

Weighted

average LGD

Weighted

average EL

default

Weighted

average RW




Borrower ratings 12–15 – – – –


Exposures subject to the IRB Approach: bank exposures Billions of yen

March 31, 2017

EAD

On-balance

sheet EAD

Off-balance

sheet EAD

Credit rating

Amount of

undrawn

commitments

Weighted

average factor

on undrawn

commitments

Other off-

balance sheet

EAD

Borrower ratings 1–3 6,069.1 3,600.1 2,469.0 593.6 50.70% 2,168.0


Borrower ratings 10–11 42.2 5.1 37.0 – 0.00% 37.0

Borrower ratings 12–15 4.1 4.1 – – – –

March 31, 2017

Credit rating

Weighted

average PD

Weighted

average LGD

Weighted

average EL

default

Weighted

average RW




Borrower ratings 12–15 100.00% 68.68% 65.10% 47.41%

Exposures subject to the IRB Approach: equity exposures under PD/LGD Approach Billions of yen

March 31, 2017

Credit rating

Amount

of exposures

Weighted

average PD

Weighted

average RW

Borrower ratings 1–3 4,488.7 0.07% 109.48%

Borrower ratings 4–9 2,675.4 0.22% 146.30%

Borrower ratings 10–11 17.1 8.52% 545.87%

Borrower ratings 12–15 80.4 100.00% 1,192.50%

Note: Figures exclude any equity exposures based on calculations where credit risk-weighted asset values are assessed using the Market-Based Approach.


Exposures subject to the IRB Approach: retail exposures Billions of yen

March 31, 2017

EAD

On-balance

sheet EAD

Off-balance

sheet EAD

Amount of

undrawn

commitments

Weighted

average factor

on undrawn

commitments

Other off-

balance sheet

EAD

Residential mortgage 13,789.8 13,664.5 125.3 – – 125.3

Non-defaulted 13,634.8 13,511.2 123.5 – – 123.5

Defaulted 155.0 153.2 1.8 – – 1.8

Qualifying revolving retail 4,853.4 1,636.9 3,216.4 20,564.1 14.98% 135.2

Non-defaulted 4,794.7 1,578.4 3,216.2 20,562.3 14.98% 135.0

Defaulted 58.6 58.4 0.2 1.8 0.00% 0.2

Other retail (non-business) 1,332.3 521.3 810.9 3,755.7 13.05% 320.8

Non-defaulted 1,196.6 387.9 808.6 3,753.2 13.06% 318.5

Defaulted 135.6 133.3 2.3 2.4 0.08% 2.3

Other retail (business-related) 1,152.9 1,033.7 119.1 2,306.1 1.10% 93.7

Non-defaulted 1,149.3 1,030.2 119.0 2,306.1 1.10% 93.6

Defaulted 3.6 3.4 0.1 – – 0.1

March 31, 2017

Number of

pools

Weighted

average PD

Weighted

average LGD

Weighted average

EL default

Weighted

average RW

Residential mortgage 99 1.94% 33.07% – 26.32%

Non-defaulted 74 0.82% 33.07% – 26.32%

Defaulted 25 99.86% 32.67% 30.75% 26.11%

Qualifying revolving retail 76 2.22% 77.78% – 24.47%

Non-defaulted 58 1.02% 77.77% – 24.77%

Defaulted 18 100.00% 78.57% 83.79% 0.34%

Other retail (non-business) 151 11.33% 34.19% – 35.31%

Non-defaulted 87 1.27% 32.61% – 38.11%

Defaulted 64 100.00% 48.12% 47.74% 10.68%

Other retail (business-related) 45 3.12% 17.95% – 21.98%

Non-defaulted 31 2.82% 17.83% – 22.01%

Defaulted 14 100.00% 53.93% 54.26% 12.33%

Note: In cases where purchased receivables are included, the weighted average PD reflects not only the PD but also a figure for which the annual expected loss corresponding to the dilution risk is prorated.


Comparison of estimated and actual losses for exposures subject to the IRB Approach Millions of yen

Corporate

exposures

Sovereign

exposures

Bank

exposures

Equity

exposures

under

PD/LGD

Approach

Residential

mortgage

exposures

Qualifying

revolving

retail

exposures

Other retail

exposures

FY2012 actual losses 108,263 (133) – 121 21,068 13,823 7,377

FY2012 estimated losses 951,689 25,146 20,163 5,194 206,700 142,764 157,993

Initial EAD 71,463,314 88,940,300 10,391,449 672,201 14,064,062 4,788,117 4,022,364

Estimated weighted

average PD 3.91% 0.08% 0.58% 0.86% 3.52% 3.97% 9.37%

Estimated weighted

average LGD 34.13% 37.94% 33.47% 90.00% 41.83% 75.17% 35.19%

FY2013 actual losses 76,814 (139) – 182 (1,339) 11,191 4,378


Initial EAD 77,051,135 91,958,666 10,189,751 765,530 13,900,410 4,278,958 3,679,324

Estimated weighted

average PD 3.69% 0.09% 0.46% 0.90% 3.33% 3.91% 8.56%

Estimated weighted

average LGD 31.82% 35.82% 32.05% 90.00% 35.76% 76.66% 32.61%

FY2014 actual losses 140,541 (148) – 894 (4,559) 10,181 2,251


Initial EAD 82,577,996 94,674,332 11,472,423 788,896 13,867,539 4,165,724 3,439,214

Estimated weighted

average PD 2.93% 0.04% 0.27% 0.64% 2.67% 3.62% 8.04%

Estimated weighted

average LGD 31.88% 36.39% 32.95% 90.00% 33.58% 73.72% 33.12%

FY2015 actual losses 142,299 (222) – 22,089 3,855 11,688 837


Initial EAD 91,673,490 108,137,300 12,988,376 6,663,614 13,756,527 4,151,148 3,233,323

Estimated weighted

average PD 2.61% 0.02% 0.24% 0.42% 2.39% 3.16% 7.44%

Estimated weighted

average LGD 31.81% 36.70% 32.49% 90.00% 32.46% 74.75% 32.80%

Interim FY2016 actual losses (24,335) (135) – 10,323 2,093 7,098 1,291

Interim FY2016 estimated

losses (Note 2) 712,966 7,577 10,867 58,763 97,174 88,059 72,516

Initial EAD 94,703,811 109,666,157 12,789,766 5,552,653 13,568,766 4,750,015 2,595,035

Estimated weighted

average PD 2.32% 0.02% 0.25% 1.18% 2.19% 2.40% 7.35%

Estimated weighted

average LGD 32.82% 37.39% 33.35% 90.00% 32.98% 77.36% 25.69%

Interim FY2016:

Discussion of the factors

Actual losses on exposures were lower than initial estimated losses, reflecting repayments on defaulted

exposures and other factors such as loan normalization.

Notes: 1. Actual losses include the following amounts related to defaulted exposures: write-offs against allowances, losses on the disposal of claims, debt forgiveness or loan waivers, and impairment losses on securities. Actual losses incurred by Mitsubishi UFJ Trust and Banking Corporation equal the aggregate figures for the banking account and for trust accounts for which repayment of the principal to the customers is guaranteed.

2. Estimated losses for interim FY2016 represent the expected losses for the full year estimated at the beginning of the fiscal year.


CREDIT RISK MITIGATION Exposures subject to application of credit risk mitigation techniques Billions of yen

March 31, 2017

Eligible

financial collateral Guarantees

Credit

derivatives

Portfolios under the AIRB Approach ／ 6,850.4 318.3

Corporate exposures ／ 5,398.5 295.5

Sovereign exposures ／ 1,008.0 5.4

Bank exposures ／ 127.6 17.3

Residential mortgage exposures ／ – –

Qualifying revolving retail exposures ／ – –

Other retail exposures ／ 316.2 –

Portfolios under the Standardized Approach 10,898.8 229.1 –

Note: Eligible financial collateral includes collateral for repo transactions but does not include deposits in our banks subject to on-balance sheet netting.

DERIVATIVE TRANSACTIONS AND LONG SETTLEMENT TRANSACTIONS Matters relating to counterparty credit risk Billions of yen

March 31, 2017

Aggregated gross replacement costs 9,841.1

Credit equivalent amounts prior to credit risk mitigation benefits due to collateral 7,924.2

Foreign exchange and gold 8,504.8

Interest rate 6,713.6

Equity 278.9

Precious metals (except gold) –

Other commodities 50.4

Credit derivative 370.7

Long settlement transactions 6.2

Netting benefits due to close-out netting agreements (Note 2) (8,000.6)

Collateral held 1,637.1

Deposits 1,193.8

Marketable securities 322.4

Others 120.7

Credit equivalent amounts after credit risk mitigation benefits due to collateral 5,479.4

Notional principal amount of credit derivatives included in calculation of credit equivalent amounts 5,914.2

Purchased credit protection through credit default swaps 3,096.6

Purchased credit protection through total return swaps –

Purchased credit protection through credit options –

Purchased other credit protection –

Provided credit protection through credit default swaps 2,817.5

Provided credit protection through total return swaps –

Provided credit protection through credit options –

Provided other credit protection –

Notional principal amount of credit derivatives used for credit risk mitigation purposes 829.6

Notes: 1. Credit equivalent amounts are calculated using the Current Exposure Method. 2. These benefits are equal to the figure obtained by subtracting credit equivalent amounts prior to credit risk mitigation benefits due to collateral from the

sum of aggregated gross replacement costs and total gross add-ons.


Derivative transaction exposure Billions of yen

March 31, 2017

Derivative transactions not settled with central counterparty clearing houses 7,917.9

Derivative transactions settled with central counterparty clearing houses 4,243.3

OTC derivatives 3,862.8

Exchange traded derivatives 380.4

Total 12,161.3

Note: Figures in the above table show exposures used in the calculation of credit risk-weighted assets.

SECURITIZATION EXPOSURES (Subject to calculation of credit risk-weighted assets) Information on underlying assets Billions of yen

March 31, 2017 FY2016

Amount of underlying assets

at period-end (Note 1)

Cumulative amount of underlying

assets in default or contractually

past due three months or more

Underlying

assets

relating to

retained

securitization

exposures

at the end of

this period

Underlying

assets relating to

securitization

transactions

during this period

with no retained

securitization

exposures

(Note 2)

Underlying

assets

relating to

retained

securitization

exposures

at the end of

this period

Underlying

assets relating to

securitization

transactions

during this period

with no retained

securitization

exposures

(Note 3)

Losses on

underlying assets

incurred during

this period

(Note 4)

Traditional securitizations

(asset transfer type) 881.6 – 2.3 – 0.5

Residential mortgage 881.6 – 2.3 – 0.5

Apartment loan – – – – –

Credit card receivables – – – – –

Other assets – – – – –

Synthetic securitizations – – – – –

Residential mortgage – – – – –


Credit card receivables – – – – –

Other assets – – – – –

Sponsor of asset-backed commercial

paper (ABCP) program 27,722.4 – 361.0 1,097.0 273.7

Residential mortgage 44.4 – 0.0 0.4 –


Credit card receivables 3,988.0 – 33.7 253.2 35.0

Account receivables 11,011.8 – 307.9 682.8 101.7

Leasing receivables 2,321.4 – 5.8 36.0 12.7

Other assets 10,356.5 – 13.4 124.4 124.1

Total as an originator 28,604.0 – 363.3 1,097.0 274.2

Notes: 1. The amount of underlying assets relating to sponsor of ABCP programs includes underlying assets related to ABCP programs sponsored by multiple financial institutions, including certain consolidated subsidiaries of MUFG.

2. The amount of underlying assets refers only to those cases in which the securitization exposures associated with a securitization conducted during this period were wholly transferred to third parties.

3. Figures show cumulative totals for this period of underlying assets either in default or contractually past due three months or more arising from securitization transactions in cases where the securitization exposures associated with a securitization conducted during this period were wholly transferred to third parties, or where no exposure was retained at the end of this period from a securitization conducted during this period due to related maturity.

4. Losses with traditional or synthetic securitizations are based on the projected accounting losses for holding the underlying assets without conducting the relevant securitization. With regard to the sponsor of ABCP programs, since it is extremely rare for such schemes to result in losses on any related retained securitization exposure, it is difficult to obtain generally relevant information relating to losses as based on certain definitions. These figures therefore aggregate cases where actual economic losses have been recognized with cases where the loss has been valued on the same basis as the underlying defaulted assets. Losses on underlying assets relating to sponsor of ABCP programs differ from losses incurred by MUFG.


Information on underlying assets (continued) Billions of yen

FY2016

Cumulative

amount of

underlying assets

securitized

during this period

Recognized

gains or losses

in this period arising

from securitization

transactions


(asset transfer type) – –

Residential mortgage – –

Apartment loan – –

Credit card receivables – –

Other assets – –

Synthetic securitizations – ／

Residential mortgage – ／

Apartment loan – ／

Credit card receivables – ／

Other assets – ／

Sponsor of asset-backed commercial paper

(ABCP) program 154,358.9 ／

Residential mortgage 68.9 ／

Apartment loan – ／

Credit card receivables 14,926.1 ／

Account receivables 126,188.9 ／

Leasing receivables 1,657.4 ／

Other assets 11,517.4 ／

Total as an originator 154,358.9 –

(Amount of assets held for the purpose of securitization) There were no assets held for the purpose of securitization transactions as of March 31, 2017.


Information on securitization exposures retained (By type of underlying asset) Billions of yen

March 31, 2017

Amount of securitization exposures Amount of

securitization

exposures

that have

been

deducted from

Tier 1 capital

(Amount

equivalent to

increase in

capital)

(Note 1)

Other than

re-securitization exposures Re-securitization exposures

Amount of

securitization

exposures

subject to a risk

weight of

1,250%

(Note 2)

On-balance

sheet

Off-balance

sheet

On-balance

sheet

Off-balance

sheet

Total as an originator 5,314.1 650.0 – – 2.2 14.3


(asset transfer type) 478.1 – – – 0.0

14.3

Residential mortgage 478.1 – – – 0.0 14.3

Apartment loan – – – – – –

Credit card receivables – – – – – –

Other assets – – – – – –

Synthetic securitizations – – – – – –

Residential mortgage – – – – – –


Credit card receivables – – – – – –

Other assets – – – – – –

Sponsor of asset-backed

commercial paper (ABCP)

program 4,835.9 650.0 – – 2.1

–

Residential mortgage 40.7 – – – – –


Credit card receivables 855.3 254.4 – – – –

Account receivables 1,351.4 318.9 – – – –

Leasing receivables 524.0 31.9 – – – –

Other assets 2,064.4 44.6 – – 2.1 –

As an investor 4,284.7 – 19.0 – 13.2 ／

Residential mortgage 1,341.8 – – – – ／

Apartment loan 64.5 – 0.2 – 0.1 ／

Credit card receivables 149.8 – – – – ／

Corporate loans 2,123.6 – 18.7 – 0.0 ／

Other assets 604.9 – – – 13.0 ／

Notes: 1. The amount of securitization exposures that have been deducted from Tier 1 capital (amount equivalent to increase in capital) counts as common equity Tier 1 capital: regulatory adjustments as stipulated by Article 5 of the FSA Holding Company Capital Adequacy Notification, and includes any gains on disposal of the underlying assets relating to the securitization.

2. Figures listed refer to the amounts of exposures subject to a 1,250% risk weight as stipulated in Article 225 of the FSA Holding Company Capital Adequacy Notification. Securitization exposures subject to a 1,250% risk weight include cases where the credit risk-weighted assets computed using the Supervisory Formula Approach exceed 1,250% or where a rating is lower than a certain threshold when calculating credit risk-weighted assets under the Ratings-Based Approach.

(Securitization exposures subject to early amortization provisions retained) In line with the provisions of Articles 230 & 248 of the FSA Holding Company Capital Adequacy Notification, as of March 31, 2017, there were no securitization exposures subject to early amortization treatment that are retained by external investors and are used to calculate credit risk-weighted assets.


(Amount of securitization exposures retained and the associated capital requirement for these exposures broken down into a number of risk weight bands) Billions of yen

March 31, 2017

Other than re-securitization exposures

Amount of

securitization exposures

Capital

requirement

On-balance

sheet

Off-balance

sheet

On-balance

sheet

Off-balance

sheet

Total as an originator 5,314.1 650.0 97.1 4.7

Traditional securitizations (asset transfer type) 478.1 – 35.2 –

Risk weight: to 20% – – – –

Risk weight: over 20% to 50% 66.5 – 2.7 –



Risk weight: over 250% under 1,250% 6.5 – 2.4 –

Risk weight: 1,250% 0.0 – 0.0 –

Synthetic securitizations – – – –


Risk weight: over 20% to 50% – – – –



Risk weight: over 250% under 1,250% – – – –

Risk weight: 1,250% – – – –

Sponsor of asset-backed commercial paper (ABCP) program 4,835.9 650.0 61.9 4.7

Risk weight: to 20% 4,359.6 640.6 27.5 4.3

Risk weight: over 20% to 50% 154.0 6.8 4.1 0.1



Risk weight: over 250% under 1,250% 13.0 0.0 3.1 0.0

Risk weight: 1,250% 2.1 – – –

As an investor 4,284.7 – 50.6 –

Risk weight: to 20% 4,155.2 – 29.8 –




Risk weight: over 250% under 1,250% 5.3 – 3.7 –

Risk weight: 1,250% 10.1 – 10.6 –


(Amount of securitization exposures retained and the associated capital requirement for these exposures broken down into a number of risk weight bands) (continued) Billions of yen

March 31, 2017

Re-securitization exposures

Amount of


Capital

requirement

On-balance

sheet

Off-balance

sheet

On-balance

sheet

Off-balance

sheet

Total as an originator – – – –

Traditional securitizations (asset transfer type) – – – –






Risk weight: 1,250% – – – –

Synthetic securitizations – – – –






Risk weight: 1,250% – – – –

Sponsor of asset-backed commercial paper (ABCP) program – – – –






Risk weight: 1,250% – – – –

As an investor 19.0 – 0.5 –

Risk weight: to 30% 17.4 – 0.3 –





Risk weight: 1,250% – – – –

(Application of credit risk mitigation methods to re-securitization exposures) Not applicable as of March 31, 2017.


SECURITIZATION EXPOSURES (Subject to calculation of market risk equivalent amount) Information on underlying assets There were no securitization exposures during fiscal 2016 and as of March 31, 2017.

(Amount of assets held for the purpose of securitization) There were no assets held for the purpose of securitization transactions as of March 31, 2017.

Information on securitization exposures retained (By type of underlying asset) There were no assets held as an originator as of March 31, 2017.

Billions of yen

March 31, 2017

Amount of


Amount of

securitization

exposures that

have been

deducted from

Tier 1 capital

(Amount

equivalent to

increase in

capital)

(Note 1)

Capital

deductions

related to

securitization

exposures

(Note 2)

Other than

re-securitization

exposures

Re-securitization

exposures

As an investor 24.4 – ／ –

Residential mortgage 0.0 – ／ –

Apartment loan 0.0 – ／ –

Credit card receivables 0.1 – ／ –

Corporate loans 19.8 – ／ –

Other assets 4.5 – ／ –

Notes: 1. The amount of securitization exposures that have been deducted from Tier 1 capital (amount equivalent to increase in capital) counts as deductions from basic (Tier 1) items of the capital amount, as stipulated by Article 5 of the FSA Holding Company Capital Adequacy Notification, and includes any gains on disposal of the underlying assets relating to the securitization.

2. Figures listed refer to capital deductions as stipulated in Article 280-5, Paragraph 2 of the FSA Holding Company Capital Adequacy Notification.

(Securitization exposures subject to early amortization provisions as an originator) There were no securitization exposures subject to early amortization provisions as an originator as of March 31, 2017.


(Amount of securitization exposures retained and the associated capital requirement for these exposures broken down into a number of risk weight bands) There were no securitization exposures as an originator as of March 31, 2017.

Billions of yen

March 31, 2017

Other than re-securitization exposures Re-securitization exposures

Amount of

securitization

exposures

Capital

requirement

Amount of

securitization

exposures

Capital

requirement

As an investor 24.4 4.3 – –

Risk weight: to 1.6% 20.4 0.3 – –

Risk weight: over 1.6% to 4% 0.0 0.0 – –

Risk weight: over 4% to 8% 0.0 0.0 – –

Risk weight: over 8% to 20% 0.0 0.0 – –

Risk weight: over 20% under 100% 0.0 0.0 – –

Risk weight: 100% 4.0 4.0 – –

(Securitization exposures subject to measurement of comprehensive risk) There were no securitization exposures subject to measurement of comprehensive risk as of March 31, 2017.


MARKET RISK Value-at-risk (VaR): maximum, minimum and average values by disclosure period and period-end

• VaR for trading activities Billions of yen

FY2016

Average Maximum Minimum Mar. 31, 2017

Overall 17.52 30.10 12.55 15.87

Interest rate 18.43 28.08 14.30 15.21

Yen 10.59 21.25 5.40 7.95

U.S. dollar 8.87 12.79 6.02 6.69

Foreign exchange 8.81 16.59 5.45 6.14

Equities 2.00 5.85 1.02 1.89

Commodities 0.01 0.16 0.00 0.00

Less diversification effect (11.73) – – (7.37) Assumptions for VaR calculations:

Historical simulation method Holding period: 10 business days Confidence interval: 99% Observation period: 701 business days

• The maximum and minimum VaR overall and for various risk categories were taken from different days.

• Figures for stressed VaR are not included.

Stressed VaR: maximum, minimum and average values by disclosure period and period-end

Billions of yen

FY2016


Stressed VaR 23.49 57.11 10.32 10.32 Assumptions for VaR calculations:

Historical simulation method Holding period: 10 business days Confidence interval: 99%

Stressed VaR has been measured from October 2011.

The amount of required capital related to additional risk and comprehensive risk as of the period-end, as well as the maximum, minimum and average values for the amount of required capital for additional risk and comprehensive risk during the disclosure period Not applicable in fiscal 2016.


Movement analysis of market risk-weighted assets Market risk-weighted assets decreased by ¥0.06 trillion from March 31, 2016 mainly due to decreases in the VaR based on the Internal Models Approach.

Trillions of yen

Market risk-weighted assets as of March 31, 2016 2.19

Internal Models Approach (0.45)

VaR (0.18)

Stressed VaR (0.27)

Standardized Approach +0.39

Interest rate risk +0.26

Equity position risk +0.10

Foreign exchange risk (0.02)

Others +0.05

Market risk-weighted assets as of March 31, 2017 2.13

Results of market risk backtesting and explanations of any actual trading losses significantly in excess of VaR Market Risk Backtesting (April 2016–March 2017)

Billions of Yen

- 120- 100- 80- 60- 40- 20

020406080

100120

0 20 40 60 80 100 120VaR

Case of losses exceeding VaR: 0

Daily

pro

fit/l

oss

0 2 4 6 8 10 12

1210

86420

-2-4-6-8

-10-12

Note: Actual trading losses were within the range of VaR throughout the

period studied.

VaR and Daily Profit/Loss for Trading Activities (April 2016–March 2017)

Billions of Yen

120100-80-60-40-20

0204060800020

Apr. 2016

1210

86420

-2-4-6-8

-10-12

Mar. 2017

Daily profit/loss

VaR shown on a negative scale

Note: Actual trading losses were within the range of VaR throughout the

period studied.


OPERATIONAL RISK Movement analysis of operational risk-weighted assets Operational risk-weighted assets increased by ¥0.15 trillion from March 31, 2016, reflecting an increase of ¥0.08 trillion due to an increase in gross profit at group companies based on the Basic Indicator Approach, and an increase of ¥0.06 trillion based on the Advanced Measurement Approach.

Trillions of yen

Operational risk-weighted assets as of March 31, 2016 6.58

Advanced Measurement Approach 0.06

Internal fraud 0.03

External fraud 0.04

Employment practices and workplace safety (0.03)

Clients, products, and business practices* (0.10)

Damage to physical assets 0.00

Business disruption and system failures 0.00

Execution, delivery and process management 0.12

Basic Indicator Approach 0.08

Operational risk-weighted assets as of March 31, 2017 6.73

* Includes loss on repayment of excess interest in the consumer finance operations of Group subsidiaries.

EQUITY EXPOSURES IN BANKING BOOK Amount on consolidated balance sheet and market values Billions of yen

March 31, 2017

Amount on

consolidated

balance sheet

Market

value

Exposures to publicly traded equities (Note 1) 5,347.4 5,347.4

Equity exposures other than above (Note 2) 197.0 –

Total 5,544.4 –

Notes: 1. Figures only count Japanese and foreign equities held within securities available-for-sale with quoted market value. 2. Figures only count Japanese and foreign equities held within securities available-for-sale whose market values are not readily determinable.

Cumulative gains or losses arising from sales or write-offs of equity exposures Millions of yen

FY2016

Gains on sales Losses on sales Write-offs

Equity exposures 171,875 (44,378) (2,557)

Note: Figures refer to net gains or losses on equity securities within net non-recurring gains or losses.

Unrealized gains or losses recognized on consolidated balance sheet but not on consolidated statement of income Billions of yen

March 31, 2017

Acquisition

cost

Amount on

consolidated

balance sheet

Unrealized

gains or losses

Equity exposures 2,662.3 5,347.4 2,685.0

Note: Figures only count Japanese and foreign equities held within securities available-for-sale with quoted market value.

Unrealized gains or losses not recognized either on consolidated balance sheet or on consolidated statement of income Not applicable as of March 31, 2017.


EXPOSURES RELATING TO FUNDS Exposures relating to funds Billions of yen

March 31, 2017

Exposures relating to funds 2,768.4

Exposures where fund components are identifiable (look-through approach) (Note 1) 2,701.9

Exposures not included above where equity exposures constitute majority of total value of fund components (Note 2) 36.3

Exposures not included in any categories above where investment mandates of funds are known (Note 3) 24.8

Exposures not included in any categories above where the internal models approach is applied (Note 4) –

Exposures not included in any categories above where there is a high probability of the weighted average risk

weight applied to fund components being less than 400% (Note 5) 5.2

Exposures not included in any categories above (Note 5) 0.0

Notes: 1. As stipulated in Paragraph 1 of Article 145 of the FSA Holding Company Capital Adequacy Notification. 2. As stipulated in Paragraph 2 of Article 145 of the FSA Holding Company Capital Adequacy Notification. 3. As stipulated in Paragraph 3 of Article 145 of the FSA Holding Company Capital Adequacy Notification. 4. As stipulated in Paragraph 4 of Article 145 of the FSA Holding Company Capital Adequacy Notification. 5. As stipulated in Paragraph 5 of Article 145 of the FSA Holding Company Capital Adequacy Notification.

INTEREST RATE RISK IN THE BANKING BOOK (IRRBB) Decline in economic values estimated with interest rate shocks applied to internal risk management

• VaR for non-trading activities Billions of yen

FY2016


Interest rate 393.1 528.5 265.7 273.1

Yen 290.7 345.1 231.1 240.7

U.S. dollar 220.6 289.3 116.3 121.4

Euro 65.0 114.2 26.4 31.0

Equities 236.7 266.6 185.3 259.3

Overall 461.2 564.5 368.9 372.0 Assumptions for VaR calculations:

Historical simulation method Holding period: 10 business days Confidence interval: 99% Observation period: 701 business days

• The maximum and minimum VaR overall and for various risk categories were taken from different days.

• The equity-related risk figures do not include market risk exposure from our strategic equity portfolio.

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